What should I be looking for in terms of quality brands ?
What filters should I get first ?

Thanks

I'm a big fan of the Schneider B+W series. In no particular order:

1. Polarizer
2. ND (couple of levels, but don't go too dark)
3. Half grad (couple of levels)
4. Clear
5. Skylight or some other half grad to add extra color to sunsets and sunrises.
6. Maybe a black pro mist

Depending upon how much ND you intend to use, you might also examine either IRND filters or the IR-750 if you are using any of the RED camera family or SI2K with ND.6 or stronger on front. Your might also find a ND6 soft grad filter handy.

My list is very similar to Bill's. This is in the order that I use most to least.

1. ND (0.3, 0.6, 0.9, 1.2)
2. Polarizer (circular true-polarizing)
3. Graduated ND (same as ND set in hard and soft)

Those are the bare essentials for me. Then I also have various other filters but one I use quite a lot is a Black Frost 1/2.

For the Graduated ND I would recommend getting 4x5.6 vertical orientation if your matte box has trays that will work with them.

I like Schneider or Tiffen but have also used Formatt filters which are good too. You'll spend a lot on your filters but it's worth it to get quality glass. I was AC on a low budget Bollywood shoot where they were using some pretty cheap filters. super thin and you could tell by just looking through them with that they were degrading the IQ. I have been able to pick up some pretty good deals at auctions when production houses go out of business or from others who were selling theirs.

Similar to others -

1) The basic 0.3, 0.6, 0.9

2) A 1.8 (6 stop) and a 3.0 (10 stop - which is overkill in general, but I do a lot of large format still photography and a lot of older lenses don't have shutters so you need it to get exposure times in the few second range when using the equivalent of a hat over the lens as a shutter.)

Will add a polarizer one of these days. I use the 6 stop Formatt a lot outdoors in Arizona = probably my most used