I had some Cokin filters earlier, and was thinking of getting some again, mostly ND and effect filters.
The difference between the systems is first of all in the size of the filters. The Lee standard system uses 100 mm filters, while the Cokin P system uses 84 mm filters. The less common Cokin Z-PRO system uses 100 mm filters, so they should be compatible with the Lee system. I have also seen mentioned Lee filters made compatible for the Cokin P system.
From what I have read, Lee filters are higher quality (durable and even in color), but also a lot more expensive. A cokin user had problems with the neutral density filters not being really neutral, however that shouldn't be a big problem if you are using a digital camera, as you can adjust the white balance to compensate for any differences.
For a 10-20 lens you should be careful what holder you get. There are special low-profile holders for wide angle lenses that you might need so that it's not visible in the image.