Seems like Paths essentially add a filter to your Zap—which one should you use when?
Filters let you tell Zapier "Watch for things like this, and only run the Zap if you find them."
Paths tell Zapier "If you find things like this, do this; otherwise, do that."
So, Filters are better if you only want to do something with one part of your data. Say you are selling stuff online, have Zapier watching your store for new orders, and want to add people who ordered WidgetX to your MailChimp list. A filter would be perfect here. Have the filter watch for orders that contain WidgetX, then have Zapier add the people it finds to that email list.
But say you wanted to add people who bought WidgetX to one list, and those who bought WidgetY to another list. A Path would be better. You'd start the first path by having it watch for orders with WidgetX, and add the correct newsletter action after that. Then you'd go back to the Path, add another option to watch for WidgetY, and a step to add those orders to their correct list. Repeat that until all of your customers get on the right email list.
Paths are great for building customized workflows for all of your data; Filters are best at doing one, focused thing.