Jim, your first decision is if you want screw in filters and whether the type of photography you are most interested in is likely to necessitate the use of ND grad filters. I use them for both B+W and Colour.
If so, you need to use a filter system, such as Lee or Cokin. I moved to Lee from Cokin P series because they offer a wider range of ND grads which are more Neutral. Not being flush with cash, I prioritised my spend using Joe Cornish's First light photo details to see which he used most.
So I shopped for 0.3, 0.45, 0.6 and 0.9 Hard transition ND grads, an 81B an 81D and the shrimp (85C) warm-ups. I have added 0.45 and a 0.9 soft transition ND grads, which I find that I use most often. Also an 81B soft grad which I use inverted to warm up the foreground and keep skies cooler. This is more versatile and cheaper than buying ND and warm-up combination grads, so long as you accept that theoretical degradation that will occur with the extra filter in place.
If you intend to use a polariser, it is probably best to get the Lee screw in adaptor and use something like a B+W Kasemann or Heliopan, if you are still feeling flush with cash!
Don't panic about expense, once you have made the decision about which system to go for, you can add as you, or your wallet see fit. I haven't felt the need to add to this set-up for the last 2 years.
Whilst on a workshop with Joe Cornish, I ended up shooting through the edge of the 85C because I didn't have the grad version. Once precessed, amazingly, it worked! We couldn't see the transition on the 5x4 tranny. I haven't dared to repeat this exercise, but would be tempted to do so, if in a similar tight spot!
Hope that this is helpful. I am not sponsored by Lee. I only wish I was good enough for it to be so!