Here's my story. I posted it on photonet a few years ago and a lot of people who use Cokin filters got enraged. Sorry, but it's my experience.
Over the years, I have accumulated boxes of filters including several Cokin A filters from when they were first introduced in the 1970s. When I bought new EOS equipment, some of the new lenses took 77mm filters so I also bought several Cokin P filters to save money. I was mainly shooting color at the time and I seldom used filters anyway so the Cokins seemed like a good idea.
One afternoon, I set up to shoot close-ups of flowers in my backyard garden. I was using a Canon EF 400mm lens with 1.4x Canon Extender. The flowers were in open shade, so I slipped a Cokin 81A equivalent filter over the lens. The image was so distorted through the viewfinder, I thought something was wrong with the lens or extender mounts. I checked everything to be sure and looked again. Still distorted. I took off the filter and everything was sharp. This got my attention. I got all of the Cokin P filters I had and tried holding them in front of the lens. ALL of them produced so much distortion, it was difficult to distinguish the subject matter. So I tried the same thing with the old Cokin A filters and they did the same thing. All of the Cokins looked fine when I looked through them with just my eye.
I then tried other lenses. On wide angle and normal lenses, there was no effect at all. Starting at about 85mm and up, you could begin to see distortion through the viewfinder. With a 100-300mm Canon zoom lens, every filter went from just barely noticeable distortion at 100mm to causing the lens to fail to autofocus at something over 200mm.
This was with every single Cokin filter I had. It was a 100% failure rate.
I later printed some black and white negatives I had shot through Cokin P green and red filters using a Canon 20-35mm zoom. The zoom is pretty darn sharp. The negatives were okay up to 8x10 or a little more but they were definitely soft when enlarged more or cropped.
I no longer use Cokin filters and I will not use Cokin filters again under any circumstance.
I subscribed to Outdoor Photographer at the time I discovered the problems with Cokin filters. I remember one issue that had a portfolio by a photographer whose name I no longer recall (my brain has been afflicted with age, sloth and tequila). He was known to make heavy use of Cokin filters in his work. In that article he made the statement to the effect that Cokins worked fine for his photography since he used mainly wide angle lenses but photographers who used the Cokins on long lenses might find their pictures to be somewhat soft. No kidding!
"The coloured pieces of plastic are much the same," Ole said.
Not in my experience. I later bought a couple of Singh-Ray graduated ND filters to use in the Cokin P holder. The Singh-Ray's are plastic and look pretty much like the Cokin P grey graduates. The Singh-Rays are as optically perfect as any piece of Schott glass filter but they cost $100 each so they should be. The Cokin grads are cheap and they are optically awful.