I use the Cokin P series. I was given this kit
for my birthday, so that's an easy way to get into the ND grad filter system. While geeks moan about how Cokin filters may not be truly neutral and introduce a colour cast, I have yet to see this affect photos in practice.
Things you need is a filter holder, an adapter ring to connect your lens to the filter holder and filters. The kit came with 3 filters - 1 stop, 2 stops and 3 stops graduated. I've found the 2 stop one the most useful so if you're starting from scratch I'd skip the kit and just buy the 2 stop one. As for hard edge vs soft edge filters, they're down to personal preference. I have no experience iwth soft edge filters, but other photographers have complained about how hard it is to see the transition when using soft edged filters.