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Depends. If you are using ND, UV, IR, CPL, etc then screw-on is fine.
If you need graduated ND's or want to be able to very quickly remove/add a filter, the drop-in types [Cokin, Lee] might be a better fit. The reason I say drop-in for grad ND is so you can easily adjust your horizon line. Impossible to do with a screw-on grad ND.