I have two sets of screw-in filters, one 52mm for a number of smaller lenses and one 67mm set for the larger lenses (I intentionally have no lenses that take larger than a 67mm filter). I use step-up rings to match filter size to the lens accessory thread.
The only real differences between filters from quality makers are 1) coating and 2) brass rings. Coated filters (Heliopan, B+W and Hoya HMC, etc.) perform markedly better in flarey situations. Brass rings don't ever get stuck like aluminum rings can. B+W and Heliopan, as well as some older Nikkor filters have brass rings (not sure about Hoya, but I think not). I got most of my filters used on eBay for very little.
I carry six filters in each kit; yellow, orange, green, red, blue and a polarizer. This latter is by far my most used, followed by orange. Filters are light; it's easy to carry them around and a pain when you don't have one you would like to use.
I also have gels, but they are a pain to use in the field and filter holders are bulky; for field work I prefer screw-ins.