As pointed out by some others cheap filters add a colour cast (notalways correctable one either since it may not be even throughout. the cheap cokin knockoffs from china can be particularly bad.
The hoya ND filters are reputedly better than the b&w ones (which have a brown cast)
The lee's are better optically than the Cokin and the better ones are also Glass not resin so are more durable (cokin filters scratch pretty easily - I have 15 of them and sooner or later they are too scratched to use)
There is also the option of a variable ND now. Pioneered by Faderfilter they are also now out from Kenko Singh Ray and Tiffen. I've seen a lot of positive comments on the Fader filter model but haven't tried it myself
FADER | www.FaderFilters.com