I have filters for 58mm, 62mm, 67mm, and 77mm. I'll likely add 39mm soon, and possibly 72mm (if I break down and buy the 35-70 2.
. I get the most use out of the 67mm and 77mm filters (ie. my mid-range and telephoto zooms). The only reason I'd use a Cokin system is for their Graduated ND filters since they're so much more adjustable than a typical round filter.
The problem with a cokin filter system is that in order to buy one setup for all of your lenses you'll need to buy the largest one. This would be horribly cumbersome on say the 50mm 1.8. It also gets rid of your ability to use most lens hoods. Oh, and you can't buy B+W and Singh-Ray for a Cokin system
Obviously there are advantages to using either system. The best thing to do would probably be to pick up a good Cokin setup that will cover your less used filters for multiple lenses, and then your more common filters can be purchased for each lens in the screw-in form. I have circular polarizers on my lenses almost all of the time. They're definitely expensive, but I also don't have to move my filters in between lenses.