One factor is that B+W and Heliopan filters have brass mounts which don't stick and unscrew easily. They also have a harder coating. More expensive filters are theoretically flatter and give better definition, you may not notice the difference in practice (as long as you don't buy very cheap filters which are not glass but cast resin).
I personally like screw-in filters (they protect the lens from dirt and moisture). If you need filters which are not the same density all over (graduated filters), whihc you probably won't for b+w, you will need a Cokin-type filter holder where you can slide the filter up and down. Cokin filters also save a lot of money if you have several lenses taking different size filters (you only need to buy different holders and rings, you can use the same filters for all lenses).