just thought i'd add that i have been panel/painting for around 20 years and when i was first taught we were told to remove all the paint prior to using body filler and i did this for years without too many problems. Last year i did a refresher course and was told that we no longer remove the paint if filling a dent, just rough it up with 80 grit and feather the edges and fill over the paint; the reason being that when you remove all the paint and fill over steel there are too many oportunities for moisture and grease to get onto the bare steel.
and If you are doing a bare steel job then do use an etch primer first and then fill over that; and as stated an epoxy 2 pac primer is the best way to go.
Occasionally and normally on jap cars you will see a rusted area by the door handle or maybe in the middle of a panel, they reckon the reason is because this area was repaired after the car had been acid dipped and etched but prior to the topcoat at the factory.
I also wash all bare metal repair with phosphating acid (normally sold as 'Metal Conditioner" or similar which is washed off with water, allowed to dry and then the etch primer goes on.