OK -- I own just about every different type and size holder and stepping rings etc..
99% comes down to what are you trying to achieve.
Magnetic filters are prone to falling off if they are hit from the side or the camera is moved too quickly -- however they are very convenient -- I use Kaes wolverine, Freewell and IRIX
Circular screw in filters are more robust, less prone to falling off. BUT - do not attach other heavy things to the outside of a CPL or variable ND filter -- they can break apart.
LARGE (very large) rectangular or plate filters and filter holders or Matt Boxes are the best way to add graduated effects and some allow to split or rotate filters in more than one directions. GOOD solutions allow CPLs to be used and rotated. I used LEE and now use NiSi - you get what you pay for and NiSI IR treated ND filters are the best but fragile.
I am very firmly of the view that a wide angle lens or zoom needs to use a VERY large filter -- my Z14-24/2.8 is used with a 112mm diameter filter OR the much larger 150mm/6" x 6 or 8" plate filters. Wider/shorter FL need even larger plates or curved solutions since the light passes through these filters on an increasingly diagonal path the closer the light is to the edge of the lens vignetting and softening increases.
Every filter must have equivalent coatings/treatment to the lens they are attached to otherwise there will be optical losses of quality AND additional effects -- most often flaring.
Lens hoods are more and more essential with each additional filter added -- see flaring etc.
AND when using magnetic filters they are essential to reduce the risk of sideways impact.
The Aluminium Nisi lense hood for the Nikkor 14-24/2.8 S - is tremendous investment - it protects the filters, acts as a shade, has a 112mm filter thread AND can be used on other top S-line lenses as well. In addition the nikon supplied hoods do not have good light control (they leak badly) -- whereas the NiSi is blacked out
Other than protectors I currently only use 112mm filters so I have stepping rings for this that allow me to use these magnetic filters on lenses with smaller diameter filter rings. BUT there is no lens hood solution that is easy to combine with this other than the Nisi.
I have 3 other types of filter:
- drop-in filters for my super teles -- currently 46mm CPL and ND options in a Kase solution
- front element protector/us for my 400/2.8TC -- also made by Kase -- we will see how I go on the Solent on a range of vessel shooting racing
- so called rear filters -- be these attached to the lens or in front of the sensor -- I bought one for use with the 14-24, used it a few times and now it lives in a crate of stuff I might sell sometime. It is a REALLY BAD idea to be messing about with an open sensor and cold hands in rough weather.
Be very careful about the impact of your filters on the colour of your images. Some ND filters have a definite colour and never pleasant.
You can buy filters with IR suppression - so called CUT filters -- these help in dusty humid conditions -but have a green tinge I used these a fair bit
As a rule modern Digital cameras and their lenses need no UV protection BUT using armoured/tempered glass protectors is both reassuring AND a way to reduce any sea water and other stuff hitting the front element and is far easier to clean
AND I could go on for hours and hours.