I read this really terrific Q&A about them: Screw-in or square filters in the field?
I really want to get an ND filter because of how versatile it would be but think I'd rather get the Square style. I currently only have a screw-in Polarizer filter and I hate using it. I don't like the feel of it at all. The effect is so-so but the mechanics of it just aren't enjoyable.
So I'm looking at getting the square filter style instead. My main concern is can you walk around with these filters attached? Say I just want to use a subtle ND or Graduated ND to be able to open the aperture up while doing street photography in harsh sunlight.