I assume from Mark’s post that he is talking about a high voltage power supply.
So far as I know, the only reason to use negative lead filtering is to avoid the need for a choke with a high voltage rating.
Operationally, the power supply will be no different from one where the choke is in the positive leg.
There is a safety concern, however. If the choke should fail, creating an open circuit in the negative leg, everything between the input side of the failed choke and the transformer center tap will immediately rise to negative high voltage. The negative poles of the filter capacitors – and everything else in the negative leg -- should therefore be insulated. What’s worse, the center tap lead of the power transformer (which was never designed to see high voltage) may short to the frame, making the entire chassis lethal.
/Miles, K2CBY