Like all things in life...it depends
If you want to use graduated neutral density (GND) filters, the cokin, lee, etc setups are the only way to go. The problem with screw on GND's is that they are right in the middle of the frame which is the last place you usually need them.
Pros of these is that it is the most flexible. Con is they can be very cumbersome and pricey.
If you want to use just plain NDs or polarizers, then screw in are fine.
Pros of these is that you dont require an apparatus hanging off your lens and they take up a lot less space. Con is that they are pretty useless if you want to use GNDs.