Good filters are expensive. Having a filter for every size lens multiplies the expense–and fills up the camera bag. I buy one large filter and have a step-up ring for every lens filter diameter that I have. This makes spending $150 on a pro filter much less painful. With a step-up ring system, I buy one high-quality filter to last a lifetime to be used on every lens. The trade-off is that this extends the total depth of the filter by the depth of the threads on the filter. This is less than the depth of two complete filters. However, it can lead to vignetting at the extremes on some lenses, particularly ultra-wides. If you normally keep a UV filter on all the time, you may need to remove it before adding a filter with a step-up ring.
What size filter is best for a step-up ring system?
I buy 77mm camera filters. This size will cover most common lenses. It is also a standard filter size that is easily found at reasonable prices for most kinds of commonly-used filters. 72mm covers almost as many lenses. Anything smaller is going to present problems. Naturally, you’ll want to check your stable of lenses–as well as any on your wish list–to make sure the filter size you choose will be adequate.
Square filter systems
An option to round, screw-on filters is a square filter system, like the Cokin system. This is a fairly inexpensive way to have universal-sized filters. However, I found that the square equivalents to the good-quality screw-in filters I would likely use most of the time were the same cost. Also, I’d have to fuss with a big plastic frame on the end of my lenses and potential vignetting on wide angle shots. I have heard of complaints of light leaks, too. However, were I to explore lots of different filters, a square system would have advantages of easy stacking and quick changes.