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I'm writing this purely out of frustration. I've spent many an hour on the net researching definitive answers trying to build the best filter kit. I haven't found anything specific to my setup so here it is for anyone else looking.
Neutral Density Graduated Filters
Ok, so I have a Canon 5D, I mostly shoot with the Canon 17-40mm L Series lens and as you may have figured I mostly shoot landscapes. Bracketing exposures is a good option (one for the sky and one for the foreground) but I still prefer the getting it right 'in camera' approach so I like to use filters. We are all after dynamic range so they really are a must...I'm still not convinced by HDR software.
What brand of filters should I buy? Are they truly neutral or do they give a colour cast?
Let's start with filters and colour cast. Cokin P Series filters give a pink colour cast and should be avoided like the plague. I'm sure it's the same with the other Cokin series filter but after my experience with the P filters I'm not going to bother trying. What about more expensive filters such as Lee or Singh Ray? Being of Scottish blood I opted to purchase mid range filters made by HiTech (aka Formatt). For the most part I've had an ok experience with them, they still have a colour cast but are definitely a vast improvement on the Cokins. However, when I use the 3 stop ND filters I get lines across the entire image which are very noticeable in the shadows. The images are unusable as you can see:

HiTech 3 stop ND filter
I learned the hard way and had to throw out a handful of images.
As far as Lee or Singh Ray filters I'll let my fellow photographer Brent explain this one. For the tech heads click here. It would seem that regardless of the cost no filter is truly neutral (does that constitute as false advertising?) and of all the brands Lee are the most neutral. I wonder if there is a difference in the optical quality, Anyone? I will definitely be upgrading to Lee filters in the future and be profiling each combination as Brent has done.
Filter Holder
OK now for filter holders. After dropping my Z164 down a waterfall I decided to buy the correct Z Series holder. Playing with it the other night I noticed a big dirty vignette (arrg!). I decided to investigate further.
I setup the 5D with my Canon 17-40mm L series glass to test both the Cokin Z Series and Lee filter holders. Remember the 5D is full frame, the following is not true for cropped sensor cameras.

F4, 17mm no filter holder

F4, 17mm Cokin Z Series filter holder reversed, 77mm adaptor ring

F4, 17mm Cokin Z Series filter holder with 2 slots, 77mm adaptor ring

F4, 17mm Lee filter holder with 3 slots, wide angle 77mm adaptor ring

F16, 17mm no filter holder

F16, 17mm Cokin Z Series filter holder reversed, 77mm adaptor ring

F16, 17mm Cokin Z Series filter holder with 2 slots, 77mm adaptor ring

F16, 17mm Lee filter holder with 3 slots, wide angle 77mm adaptor ring
From the above test you'll notice little or no difference between the holders. The major difference is between the apertures. What I didn't realise in my initial tests was that what I was actually seeing was lens drop off. That is the outer corners of the frame receive less light than the centre causing what seems to be a vignette.
Circular Polarizing Filter
Yes I know using a Circular polarizer on a wide angle lens will give you inconsistent polarization across the sky, and no it doesn't look good...but what if you want to use one and not include the sky? or just cut down reflections in one part of the frame? Will it vignette? Should I splash out on the Lee 105mm CPL ($500AU - $600AU including adaptor ring)? Or what about Cokins Z164? Which filter holder should I go with?
Well I would say go like brand with like brand, the Z164 won't work in the Lee filter holder (see my previous post) and visa versa. I think it's definitely wise to go for the drop-in filter rather than a screw in and then mount the holder on that. The CPL can be used on any size lens with the correct adaptor ring and you can spin the grads independently.
Will it vignette? Here is the Cokin setup:

F4, 17mm Cokin Z Series filter holder reversed with Z164 Circular Polarizing filter, 77mm adapter ring

F16, 17mm Cokin Z Series filter holder reversed with Z164 Circular Polarizing filter, 77mm adapter ring
Yes it will and it will even encroach on the frame, not quite as easy to fix in post.
Summary
As expected the aperture makes a big difference, as I'm shooting landscapes I generally use F16 which makes for a vast improvement. I'm thinking I should have just splashed the cash and got the Lee circular polarizing filter. I'm sure it still vignettes but probably not as bad, I'll post the results when I find out.
Please feel free to ask questions, post your thoughts, correct me if I'm wrong and maybe together we can put this one to rest! So far my thoughts on the ultimate setup are Lee all the way...that's right, Lee endorses Lee.
UPDATE: Have Lee got the solution? Click here for more information.