I personally prefer Cokin style filters for the flexibility and ease of use, for different lenses you do have to consider the adapter ring for the filter holder, but these can be purchased for a nominal cost. Mixing the filters can achieve interesting results (ND Grad and a Colour grad for example). I started of by purchasing the cheaper brand of filter and the ones I ended up using more often were upgraded to a higher quality version (Cokin etc).

There is an extensive selection on eBay to start off a collection and get to grips with which filters suit your style of photography most. :)

The same can be said for the entire site.

What is the most cost-effective way to build a filter collection?

Do the square (Cokin) style filters give more flexibility over time by allowing them to be used with multiple lenses?

What are the pros and cons of the two different styles of filters?

Thanks

Rob