In the case of ND filters, the circular, threaded type are generally preferred as they permit the mounting of the lens hood. In the case of grad ND's, the rectangular or square type are preferred as you'll want to adjust the break (between clear and grad) to suit your composition. Circular/thread-on grad ND filters are extremely limiting, frustrating, etc.
Some less expensive filters (ND and grad ND) are known to introduce a color shift. Singh-Ray, Hi-Tech and Lee are known to not have any color-shift in their grad NDs. Look to the same companies for standard NDs as well as B+W, Hoya and Nikon.