Negative lead filtering works great but be sure to use a spark gap across the choke if your rectifier is a full wave center tap type. Many center tapped plate transformers don't have a very high hi-pot rating at the center tap and the spike from a choke being shut off quickly will break insulation down.
Even the spark gap may not give adequate protection. You may have only 10 volts DC voltage drop across the choke, but the peak value of the induced AC voltage across the choke may approach the value of the DC output voltage. The full AC ripple voltage of the unfiltered DC at the output of the rectifier is dropped across the choke.
I would put the choke in the positive side, but insulate it from ground. Just don't touch it while the power supply is in operation, since you might get zapped with the full DC voltage if the coil happens to short to the core while you are in contact with it.