Asteroids and volcanoes? I've been watching too many movies, you say. Did you know that a handful of meteors have exploded in our upper atmosphere since 2002 with the force of multi-ton nuclear warheads each? Google it. Volcanic activity on Earth is up. Check out this article if you need proof. An Icelandic eruption shut down European air traffic for weeks a few years back.
Air Quality. Moreso with a volcano, but also with a large meteorite impact, dust, debris, and noxious chemicals can be ejected large distances away from the source. If a super volcano, such as Yellowstone, were to erupt in grand fashion anywhere in the world, it could easily be an extinction level event for humans. The last time Yellowstone erupted, 600k years ago, it threw ash as far east as Illinois and the cloud caused cooling on the Earth world over.
The immediate effects of a volcano are devastating for the locality in which the volcano sits, but the danger from a large volcano erupting is the ash cloud. Ash will spoil and poison soil and water preventing new food growth, it will shut down and destroy machinery (like our cars) bringing industry and commerce to a halt, it will block the sun's rays for 1 to 3 years -- or longer -- and the fine particulate drifting about will not be good for the lungs.
A good quality air-filtration for your entire house or safe space room is best, but good quality well-sealing breathing masks are (N100 is our recommendation) just as important. Personal masks are needed when you have to travel out of doors, plus they are much more affordable than a whole house or small room filtration system.
You could have similar results to volcanoes with large meteorite impacts when it comes to ash or particulate. Both could blot out the sun, both could send an ash cloud around the world.
Water / Food. The ash cloud is one of my worst case scenarios because it spoils the water, the land, and the sun -- a trifecta which would certainly lead to the death of millions world wide. If we want to make it through a global ash/debris cloud, we would have to have some serious supplies.
Whether your water filter will work or not will depend on what is in the debris cloud exactly and what kind of filter you have. You may have to go through extensive steps and procedures to clean tainted water. It's one of those situations that requires you to have pre-stored long term supplies.
Storage food would be essential, as it might not be possible to grow food for many years. Once the sun comes back and the land has had a chance to heal itself, we would rely on heirloom seeds to get the crops going again.
Why have governments colluded to create the "doomsday seed vault" buried in the supposed-to-be-permanent snow and ice of far north Europe? We're talking billions of dollars to create an underground/underice vault to store heirloom seeds. Maybe we should have some, too, eh?