I bought the cokin filter system, but havent boughten any filters yet, I was wondering what you used most often in you setup. That could get me pointed in the right direction for what I may want to purchase.
I have to second the ND filters, they are invaluable. However, I also enjoy the effects of graduated colored filters. they can and will give you a smoother transition then using photoshop. This is a good example of using the colored filters.
Get hard edge and soft edge ND's. Also, the mounting system works well but don't be afraid to try handholding your filters. Especially the Grad ND's. Handholding allows you to feather the affect by movement during the exposure or selectively filter a portion of the image.
don't forget non-graduated ND's. especially useful when trying to lengthen shutter times to get that nice smooth look to moving water or clouds.
Sometimes you can use the dark portion a graduated ND to cover the whole lens. This gives you a non-graduated effect for longer exposures. I say "sometimes" because it depends on the diameter of your lens an if the dark portion is enough to cover the whole lens.
