Any time I've tried putting a mic in a box--the end result has sounded boxy to me.
The principle of any of the "proper" filters like the sE is that the mic itself is NOT enclosed. The mic element is still out in the open for a natural sound and the filter is slightly behind the mic to prevent your voice (or whatever sound) from going across the room and bouncing back off the wall, causing the hollow echoey sound that you get in an untreated room.
I'm a user of the sE Reflexion filter and find that, set up properly (and you have to take your time and follow instructions to do it properly) it is darn near as good as working in a professionally treated studio, particularly on spoken word recordings. I can't claim to have tried all the alternatives but any of the ones which are just a bit of acoustic foam stuck to a surface don't work nearly as well as the sE offering. The posted video explains how the sE Reflexion filter is a broadband absorber--a simple layer of foam will only be absorbing high frequencies. (I'm curious to hear Ethan's offering though--with his background in acoustics it ought to be good.)
I should say that my experience is with the original, expensive sE Reflexion filter. Since then, they've come out with a project studio version. I've heard it demonstrated and, to my ear, it's about 80% as good as the original for about 50% of the price.
) and i was impressed at how well it tamed any extra room sound to give a much deader vocal recording. However, i borrowed it from work to do a session at a mates house and in a room that sounded less than ideal it was considerably less affective, but once we'd slung a duvet behind the singer it helped a lot. 
Although, i was slightly freaked out when i bought myself one as they'd changed the mounting bracket from the original version we had a work. the newer one seems to have taken on board the criticism about the clamp being flimsy and soundonsounds idea of folding it over to make it more stable. the new mounting system is already folded over and it much more stable than the older one at work. i've only tried one of the other commercially available ones (the primacoustic "voxgaurd") and the voxgaurd added some mud to the recording that wasn't there with the sE reflection filter. i've also tried a range of ghetto versions and the sE one has always been the one that doesn't impart any extra flavour to the mic. I can easily imagine that some people will like the extra character that certain reflection filter style things add, although i expect the majority won't.