Overall size. The A series is pretty small by today's standards--they'll fit lenses up to about 62mm. The P series is larger and the XP series larger still. You can get the actual figures on the Cokin USA web site or the Adorama or B&H item descriptions.
A - Amateur
P - Professional
XP - xtra large professional
Most 35mm and dslr photographers who use the Cokin system use the P series. The basic Cokin system consists of a filter holder, an adapter ring and of course a filter. The adapter rings are purchased in different sizes to fit the diameters of each of your lenses. The rings are screwed into the lens like a screw on filter then the filter holder slides over the ring and snaps into place.
Several other companies (Lee, Singh-Ray, Hitech) make filters which will fit in the Cokin P size filter holder.