I'm looking at getting some ND filters this fall or winter and am curious what style others use.
Do you guys use circular filters that thread onto your lens?
Or a square mount kit with drop in filters (like Cokin)?
The Cokin kits seem pretty versatile with a good price point.
The BIG advantage with the Cokin, or other square filter system, is that you only need to buy them once. Maybe twice, in some cases.
I'd get (and I did) the "P" holder and filters. That should hold you for all but the widest angle lenses, and largest fast telephotos. You can mount them on lenses that take up to 82mm filters.
Each lens gets its own adapter, a disc that threads into the filter threads. You don't have to buy one for each filter, but at least one in each filter diameter your lenses use. The holder clips on the adapter disc, then you install the filters.
One place it really helps, in addition to graduated filters, is for the circular polarizer. Cokin's is about US$75 in "P" series. That would add up fast, if you had several lenses with different filter diameters and were buying round filters!
The disadvantages include: won't work with lens-specific hoods; they can be bulky, if you have a lot, and use the plastic "cases" for them; and they're not glass, which makes them not quite perfect for some.
For me, they work great, and even though they are a bit bulky, they get the job done.