I use the Cokin P system too - their graduated grey filter isn't too bad at under $20 I think. The next up choice would be the Singh-Ray filters (uses Cokin P system too) for over $100 ea.

The main difference I've heard is that the Cokin has a little bit of a color cast, it's not "neutral grey", it's just "grey". It never bothered me. To get started, buy P-series adapters for the filter sizes you need, a filter holder and the filter.