What are they?

Macro and close-up are popular aspects of photography. There are a variety of tools available to the 35mm/DSLR user: extension tubes, bellows, specialist macro lenses. Another very convenient and inexpensive option is the close-up filter. I have the Canon 500D. Canon also make the 500 and 250D; officially, they are called close-up lenses, but filter is a more descriptive term because they screw into the front of a lens, where a standard UV or daylight filter fits, and magnify the image.

250, 500?

The numbers 250 and 500 indicates the maximum working distance in millimetres when the lens is focused at infinity. The 250D is intended for use with lenses from 50-135mm, and, therefore, is only available in diameters of 52mm and 58mm. The 500's come in a range of diameters from 52-77mm and are intended for use on lenses from 75-300mm, although there is no reason why they cannot be used on longer lenses, such as, the EF100-400 L or the EF400 F/5.6 L.

Step-up (or is it step-down? ) rings can, of course, be used to fit a larger close-up filter to a smaller lens.

Effect?

The longer the focal length of the lens on which the filter is used, the greater the effect on magnification. Here are some examples. The first figure indicates magnification at minimum focusing distance, the second that at maximum:

Filter\Lens 50/1.8 85/1.8 135/2.8 200/2.8 300/4 400/5.6
250D n/a n/a n/a
500/500D

1. The 250D would fit on third party lenses longer than 135mm with diameters of 58mm.
2. Other lenses with similar focal length may vary slightly in  the maximum magnification because minimum focusing distance is different.
3. Maximum magnification is greater on dedicated macro lenses.

The 500 and 500D have similar effects on magnification, but I understand the 500D is optically far superior to the 500. It is certainly bigger and heavier: my 77mm 500D is 145 grams (5.1 oz) compared to 44.