I recently got a new Canon EF 24-70mm F/2.8L II which requires 82mm filters. I going to shoot some falls and creek with this lens. In order to get the silk-like effect (long-time exposure) I will need to buy an ND filter (around ND400). But since the size is 82mm, it's really hard to find a good branded ND filter in that size. Like B+W, Hoya. I also noticed LEE is selling squared ND filters, is it also a good option? What is the best choice?
I'd recommend the square filters you've found. A great many filter types are made in the 100mm size, which is the size I'd recommend for this.
The most popular system for this is the Cokin system, but there are competing systems. HiTech makes them, too, for instance, as does Lee, as you've found.
The basic idea is that you buy a filter holder and then as many adapter rings as you need for the lens filter sizes you want to use the filter system with.
One nice thing about such a system is that you can get graduated ND filters which you can then slide up and down in the holder to position the boundary line where you want it. The system also allows easy rotation.
The Cokin system is much broader than this, offering such things as filters that fade from one color to another, but these sort of filters aren't very useful in the digital world, IMHO, where a gradient overlay in a photo editor can achieve the same effect. Graduated ND is still quite useful today, though.