In his excellent book Adventures on the Wine Route, importer Kermit Lynch recounts an opportunity he had to taste the Rhone Valley's famous Vieux Telegraphe in both its filtered and unfiltered state:
"The difference between the two bottles was striking. The filtered was a limpid, one-dimensional ruby color, boring to the eye. The unfiltered was deeper-colored, shimmering with glints of purple and black. The filtered smelled as clean as it looked, but what little nose it had seemed superficial compared to the unfiltered...The unfiltered had a deep, healthy aroma. One might say that its aroma had texture; it seemed dense and full of nuances of spice and fruit...On the palate too, the filtered lacked texture. It had body, but it didn't coat the taste buds with flavor like the unfiltered, which was chewy and substantial...The filtered is not a bad wine...However, side by side, the filtered seemed merely decent, the unfiltered grand. There was more wine in the wine!"
So why filter? Because people get spooked by sediment, the smudgy stuff that drops to the bottom of the bottle as the wine ages. It might even end up at the bottom of your glass! Egad!
Fear not, lover of good cheap Tempranillo. Don't drink the sediment, but don't freak out about it, either. In this case, at least, it is a not a flaw, but a sign of quality. And for $5.99 a bottle at Trader Joe's, I will happily deal with the dregs.