The Cokin filter system

I have been using filters for a long time, including UV filters I put on all my lenses for protection and Circular Polarizer filters combined with step-up or step-down filters.

Only recently, I have discovered the Cokin filter system.

I have been using the large size holders, you can use them easily up to a filter size of 82mm.
You basically need a filter holder (I got two: a wide version, thin and allowing to use just one full size filter, and the normal version, allowing to combine several filters but resulting in serious vignetting if used on a wide angle lens). That filter holder has to be mounted on the lens using a special filter adapter you have to screw in as a filter. They come in different size, and I also combine them with step up adapter rings to be able to put them on all the lenses I have (52, 58, 62, 67, 72, 77mm filter size).
Next to that of course, you need the filters themselves. Cokin has quite a number of "crazy" filters, including combination of several colors. Personally I find the following useful:

ND filters (neutral density gray filters - to lose one or several stops) - interesting to blur water for instance
Grad ND filters to reduce blown highlights (high contrast between the sky and a landscape for instance). Several versions are available depending on the size/response curve of the transfer area between gray and fully transparent.
Colored Grad ND filters (orange to simulate sunsets for instance)

This is an example of a basic kit:
the wide angle filter holder, two adapters one for 72mm and another for 58mm filter lenses and two grad filters.

More information to be found here:
http://www.cokin.com

An example of an orange grad filter:

See here.