Over on his YouTube channel Adam 9A4QV has uploaded a video that compares a coax notch filter and lumped elements filter band stop for the FM band. Bandstop filters are useful as they can be used to block out extremely strong signals that can overload an SDR dongle (or any radio).
A coax notch is a very simple band stop filter that is made from a length of coax cable at 1/4 wavelength of the frequency that you want to block. Just connect the 1/4 wavelength coax with a T-junction connector and you’ll get a notch at the frequency you want to block. A lumped elements filter is one made out of inductors and capacitors. Designing this type of filter generally requires a few more calculations, and ideally simulation. Then building it is a bit more difficult as you either need to buy or make the inductors, and then solder them together.
But as Adam shows in the video coax notch filters have a problem in that the notch is not only at the exact frequency that you want to block. Instead there will be multiple odd spaced harmonics of the blocking frequency as well. For example if your desired notch is at 100 MHz, you’ll also get notches at 300 MHz, 500 MHz, 700 MHz and so on. So a coax notch filter still needs to be carefully designed to not block out your frequency of interest.