This paper shortly reviews our recent work on filled skutterudites, which are considered to be one of the most promising thermoelectric (TE) materials due to their excellent power factors and relatively low thermal conductivities. The filled skutterudite system also provides a platform for studying void filling physics/chemistry in compounds with intrinsic lattice voids. By using ab initio calculations and thermodynamic analysis, our group has made progresses in understanding the filling fraction limit (FFL) for single fillers in $CoSb_3$, and ultra-high FFLs in a few alkali-metal-filled $CoSb_3$ have been predicted and then been confirmed experimentally. FFLs in multiple-element-filled $CoSb_3$ are also investigated and anonymous filling behavior is found in a few specific systems. The calculated and measured FFLs, in both single and multiple-filled $CoSb_3$ systems, show good accordance so far. The thermal transport properties can be understood qualitatively by a phonon resonance scattering model, and it seems that a scaling rule may exist between the lattice thermal resistivity and the resonance frequency of filler atoms in filled system. Even though a few things become clear now, there are still many unsolved issues that call for further work.