Slimline filters are a waste of money, except for going wide-angle on fullframe or ultrawide on cropfactor (10-22 etc). For quality: Hoya filters are really good, especially the (s)HMC's and can be had really cheap from HongKong over eBay.
About the Cokin-filters:
It really is a great idea. You've got a basic filter-holder:
In the filterholder there's space for one round filter (i.e. a polarizer) and 2/3 square filters.
You attach it to your lens by special rings (can be had in a lot of different sizes):
So when you buy a new lens in a different size, you only have to buy an adapter ring in the right size for like 5 bucks.
Cokin Polarizer:
There are lots of filters from Cokin, but most of them are useless on digital photography, as they can be reproduced in Photoshop. The usefull are IMHO a polarizer, ND, ND grad and infrared filters. All filters can be found here:
http://www.cokin.com/ico3-p0.html
I use it for neutral density gradual filters:
An example out of my livingroom, with polarizer and P121-filter:
