1. Circular or linear polarising filter? IIRC a circular filter allows you to rotate it to adjust the level of polarising it does. Is that right?
All polarisers let you rotate them, the difference between linear and circular is just how they let the light in. Basically buy a circular one because linear ones can stop auto focus from working.
2. Should I get Cokin filters? The polarising filters especially seem very expensive. KOOD for example seem about half the price. Any recommendations for P series compatible filters?
Depends. If you use filters a lot then buy the best you can afford (Cokin are very good but they aren't the best). The main difference between very good and average filters is the amount of type of coating used on the filter, Coatings help prevent defraction and also protect the filter against scratches, and what they are made of. The best filters are made of resin or glass but cheaper alternatives are polyester based. If you don't use filters a lot and the very best optical quality isn't a key factor, i.e. you arent selling your images to pro advertisers, magazines etc than the cheaper polyester type filters are perfectly fine, but the resin and glass ones are better.
3. Best place to buy the filters from?
Warehouse Express
4. What level of ND filter to start with? I know it depends on what I'm doing. It really just to have a play with longer exposures to start with.
Like you say it very much depends on what you are doing and the conditions you are shooting in. I personally wouldnt bother too much with ND's, maybe just buy a 0.6 one, and instead invest in a set of Graduated ND's. An ND is really only going to be used to slow down your shutter speed for things like silky moving water type shots whereas Graduated ND's are essential for landscapes and basically anything that has the land and sky in the frame at the same time. I'd personally buy a set of three 0.3, 0.6 and 0.9
5. Any other filters I should consider buying at this stage?
Nah. If you shoot digitally the only filters you really need are:
Circular Polariser
Graduated Neutral Density
Neutral Density
Everything else you can recreate in Photoshop with greater control.
Somebody will no doubt come along and say "what about a UV filter?". The only real reason to use a UV filter is to protect the from element of the lens from scratches and the usual argument that is put forward for using them is "it's cheaper to replace a scratched filter than it is to replace your lens". Whilst this is true it doesnt take into consideration the fact that any filter placed in front of your lens will reduce the optical quality, reduce the amount of light entering the lens (however small that is) and increase the chances of light defraction. In other words they won't do anything but reduce the quality of your photos however small that might be. Most pro's don't use UV filters but what I do is to carry a UV filter with me but only use it when I don't want to use my lens hood i.e. when I have my lens pressed up to the bars of a cage or if I'm by the sea where there is sand and spray blowing around. At all other times the filter is NOT on my lens and the lens hood offers perfectly good protection without any possible negative effects.
HTH