I have seen that there are gels that correct light sources to what you desire (ctb for sunlight and cto for indoor lights etc.) and there are also filters that you attatch to your camera lens or a 4x4 inserted into a matte box.

My question is which way is the best or does it make a difference?? What are the pros and cons of each?

It just seems so simple to be able to put a lens filter on the camcorder and be done with it instead of messing with gels etc.

what is your opinion?

Simple Answer,
Gels on the lights allow you to deal with mixed light situations. Daylight coming in from windows while all you have are tungsten lights. No matter what camera filter you put on you still will have a color temperature difference from the sources. You would have to gel the windows or the lights. It is usually less expensive to gel the lights than the windows.

...there are also filters that you attatch to your camera lens or a 4x4 inserted into a matte box...
Video cameras don't need lens/matte box color correcting filters, since they can color balance to common sources (incandescent, daylight, window light, good fluorescents).

Color correcting filters in front of the lens are (typically) for film cameras when you don't want to change emulsions for a particular shot.