You do not want to use a polarizer on any wide lens, especially a fisheye (if it would even be possible, a fisheye is usually to rounded for a normal filter).
This is what you get when using a polarizer on a wide angle lens. It's because you can not polarize across a complete sky, only sections.
interesting on the polarizer. I didn't htink of that. How for example is this person making her blue pop so much with this fisheye? I suppose the answer could always be she is good at photoshop. I have a GND and circular polarizer on my 10-22mm and it seems to work fine.
Take care of where the sun is in relation to where you are shooting. the 10-22 is not a fisheye - it is a wide angle.
Here's one without editing done to the sky:
and another:
On the 40D which is a 1.6 sensor you will lose a lot of the fisheye on most fisheyes lenses. I had the Zenitar and it had a mild fisheye effect but was disappointed that I didn't get more distortion. I then sold it and bought a Peleng 8mm fisheye and I love it. The small section of the corners need to be cropped b/c it doesn't fully cover the sensor but you get great distortion, I would highly recommend this lens.
Tokina 10-17mm fisheye. As far as I know it's the only fisheye with a zoom range; lets you tweak the composition that extra little bit sometimes. And depending on the shot, you can shoot at 10mm for a very fishy look or at 17mm for a less fishy look. Also very sharp and built like a tank.