I've been wanting to buy a cokin filter system for ages, but never really got around to it. After having done so, I have regretted buying all of my filters in screw-in format.
With the cokin system, it is so much easier to add or remove filters when taking a picture when compared with the screw-in types filters.
Also, with the square filters used by the cokin system, the use of gradient filters become all the more flexible and easier to use. By moving the filter up or down within the filter holder you can control where the graduation begins and ends in any given image, this not something you can do with screw-in filters (if you can get gradient filters in screw-in anyways).
Overall, a great filter system that no self respecting photographer should be without.