In the days of film I used to use Cokin filters. The advantage to these was that one filter would fit on many different diameter lenses, as the filter was held in a bracket and attached to the lens via an adaptor ring. So if you bought a new lens all you needed was an additional adapter for the new lens.
Now with digital I dont bother with filters on the lenses, preffering instead to make adjustments in Photoshop.
Chromasoftware do a plugin version of Cokin graduated filters.