IMHO the most important thing to do before putting on a filter is to
know what you want to with the filter. Don't use them just cause they are expensive and you paid for them
.
That said, circular polarizers are very neat, they will basically help you in most outdoor situations: increasing the contrast in a scene, darkening the sky and eliminating reflections from both water and leaves, etc. Polarizers don't seem to have so much effect on digital as they did on film (that's a personal opinion of mine, your mileage may vary) but they are useful.
As for Cokin filters, they are not of the greatest quality, but they are used sporadically... which wont affect you much. Graduated screw in filters are (IMO) almost useless because they will make you have the horizon on the middle of the frame, you will loose the ability to compose the shot. That's the main reason most people use systems like cokin for grads.
ND filters can be useful for a variety of reasons, but then again, whether you need them or not is up to you... look around the net, there's loads of information about filters, just don't buy a filter cause someone uses it, buy them because they will be useful to you. ie: I shoot BW film all the time, so I have quite a few yellow and orange filters that are amazingly useful, but if you shoot digital you don't need them. The same for all the filters designed to use with different lighting conditions, now we have a button to set WB.
As for leaving a UV or skylight filter on all the time: you will find equally contradictory opinions. Some say they use them for protection all the time, some say they only put them on during very bad conditions (in the beach, etc) and some never do. The truth is that putting another piece of glass in front of your ver expensive lens will deteriorate the image at least a bit, whether you mind that (or even realize it) or not is up to you.
Good luck with your filters! and remember that when buying glass, you get what you pay for. I don't mind using a cheap filter for some certain shots, but if you are using one on the majority of them or even leave it on, please buy the best you can afford.