Most will use views 3.x in future and they should as they are really better, from UI point of view to other parts but for some old sites that are not updated and you want to theme exposed filters differently, you can't from default. You need to change some template as all your filters have the same classes.
Override the exposed form template in your theme -- take a look at /modules/views/theme/views-exposed-form.tpl.php
Change line 25 from <div class="views-exposed-widget">
to
<div class="views-exposed-widget views-exposed-filter views-exposed-<?php echo $id; ?>"></div>