For years I've been playing around, and sometimes actually experimenting, with a myriad of filters.
I started deliberately taking photos in the last days of film, and at that time, my use of filters was to try and get a decent exposure. Exposure latitude of negative film is OK, but with slides it is very small. And there was no way to combine different exposures into a single image.
With the switch to digital, graduated filters were no longer a necessity, since I could compose exposures in post. And HDR only made this even less of an issue, with lots of other problems, mainly taste. 
In the last few years I started getting interested in filters, but now with a different goal. Getting images of crowded places that looked empty, and capturing movement of clouds and water was what drove be back to filters. 
I've started playing around with some cheap systems, like Cokin and XCSource, and was always disappointed with my results. And cautious of making the big jump to the Lee Filters system.

Price difference is huge! The XCSource full kit is £12, while just the cheapest Lee Filter holder will set you back around £60, and for that you get no filter at all. But the quality difference is even greater than the price. Cokin and XCSource are all plastic affairs, and Lee is all about metal and glass.
Last Saturday I had the chance to try out the Lee system, at a meetup ran by the London Photographic meetup group, and was blown away by their build and image quality. Alex and Lloyd gave a nice introduction to the uses and usage of the various filters available, and some hands on practice followed on a great location. Taking advantage of the Thames low tide, we went under the Millennium Bridge, which gave us a great view of the southbank with the Shard and Tate Modern building dominating the landscape. The river, and the clouds in the sky, provided the movement to contrast with the stillness of the buildings and bridges.
I highly recommend doing this specific meetup if you would like to experiment around with filters for the first time, or if you want to try out the quality of the Lee Filter system. I also intend to participate in other meetups that this group runs regularly. Check them out if you are in London and like photography.

20s @ f/14, ISO 200
-- Gear 
Fujifilm X-T1 
Fujifilm XF10-24mmF4 R OIS 
MEFOTO Backpacker tripod
Lee Filters : Big Stopper + 0.6 soft ND
-- Post 
Lightroom : Initial tone and final crop. 
Photoshop: Clean up and sharpening. 
NikCollection Color Efex Pro 4: Toning and Detail extraction.