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.
You will pay a much higher price for good quality drop-in filters than the same quality in screw-on. I don't consider Cokin to be anywhere near as good as B+W, Heliopan, etc.
Top of the line would be Singh-Ray; or Lee.. They are expensive and Lee is frequently out of stock on the most popular.. Screw-on B&W, & Heiopan are what I use, but as previously stated, they are not a quick change item..
I typically use B+W and Singh-Ray screw-on filters, I also use Singh-Ray 4x6 GND filters and reverse GND in a cokin z-pro holder or handheld. As said before they are expensive, I my opinion you get what you pay for.
