That already exists, but you have to reverse the order. First make a selection (you can use paint tools to make a selection by switching to Quick Mask mode). Then apply the filter.
I think it's a fantastic idea, if implemented in the way of the original post.
It's a bit more of an intuitive and direct dynamic way of working, and often the selection tools take too long, or are not accurate enough - depending on the type/quality of the image.
There is also the idea of pressure sensitive applying of the filter with the brush which could either effect strength of filter or act as a dynamic Fade Filter setting.
Imagine, for example the blur tool dynamically responding to strength. As far as I know, there is no way to dynamically control the strength or mix of many of the tools in this way.