Starting from version of SEO Layered Navigation Plus and Expand/Collapse for Layered Navigation extensions, you can easily customize for each category whether filter is initially expanded or collapsed. Here is how:

  1. Open category you'd like to customize.
  2. Go to "Custom Design" tab.
  3. In "Custom Layout Update" field, add: 
    <reference name="mana.catalog.above_products.nav">
        <action method="setExpandedCategory"><value>1</value></action>
  4. Instead of above_products.nav, you may use leftnav or rightnav (to specify in which layered navigation you intend to do the change).
  5. Instead of Expanded (which means filter will be shown initially expanded), you may write Collapsed (to show the filter in this category initially collapsed)  or NotExpandable (to make the filter non-collapseable in this category).
  6. Instead of Category, you may write Color, Price, etc (take attribute code, like some_attribute_name and remove underscores and capitalize first letters, like SomeAttributeName).
  7. Save category.

Please note that by default Magento applies layout updates to subcategories. If you'd like NOT to propagate the changes into subcategories, please open each subcategory and set Custom Design -> Use Parent Category Settings to "No". Please also note that in such cases, if you apply a category filter in parent category, then "Custom Layout Update" field will still be used from parent category.