I've got a set of HiTech filters from www.teamworkphoto.com for about £30 a couple of years ago along with a cokin p wideangle adaptor and a 77mm ring for my Sigma 10-20 and i've hardly used them tbh but I haven't really done much landscape stuff recently.  I am going on holiday to Jersey in Sept so might try and use them a bit then.  I did get the soft edge set and maybe would have been better with a hard edge set.

Went for the Hitech ones as I couldn't afford Lee and the cokin ones apparently had quite an obvious colour cast on them and the HiTech ones were about the same price.

They are a bit of a hassle, especially without a tripod but probably worth it if you can use them right.  And for £30-40 they're worth a punt.

I've got a piece of welding glass as well, not quite neutral density though everything turns a lovely shade of green!

How does the lightroom gradient work? Do you over/under expose and image and then get lightroom to adjust part of it to normal levels?

Either really, you basically drop and adjust the grad (you can set how much is grad and how much is 100%, rotate etc..) You can then select positive or negative exposure.

Obviously for this purpose you'd actually be better under exposing (I believe that will keep more detail?) and then using the grad in reverse to over expose the rest. Obviously if you are working in RAW you will get better results...

If you've not tried lightroom, really give it a go, it's really easy to manage your photo library (import, ratings & folders)
- edit your photos (it's designed for photography so everything is laid out with that in mind, you can create virtual copies, make changes in photoshop from lightroom, export selections of photos and create your own custom presets)
- Show off your photos (in built slideshow, lights out mode and support for second monitor output to display final version while editing on the other screen)

I'm sure that there is a demo out there or something?

Here's a link to a video about LR grads (not viewed it yet)
http://www.profiphotos.com/blog/en/2008/09/video-advanced-graduated-filter-in-lightroom-2/

Edit: having just watched it, I would suggest mute the video, unless you like 90s website nostalgia and midi music! But the video gives you the idea, although the brush is used briefly it doesn't show how good it is (think a filter that you can paint to any portion of the image, say you wanted a car in colour, but the rest of the image in B&W)

You can adjust other things, not just exposure BTW!

Screw on ND grads are of limited usefulness.

I've got one, bought it before I really knew what I was doing with ND grads (still don't really either!) and they're fairly useless so I'd stay well clear of them, mine hasn't been used in about 4 years.