For video, these are a must have. Especially if you shoot outdoors on a partly cloudy day as these allow you adjust while you're recording.
I have two Sigh Rays. One accepts the Canon lens cap but does have vignette issues because it's thick. The other is thinner but you have to use their cheap lens cap that doesn't stay on.
While your lens hood is on, you have to be careful adjusting it on the fly while recording so you don't see your fingers. So I prefer the thicker because there is more to grab on to and less chance of accidentally touching the glass. I just avoid the wider end of the lens.You definitely have to take off your UV because it adds thickness.
The new Tiffen variable ND is supposed to be really thin and may fix the vignette issue http://www.tiffen.com/displayproduct.html?tablename=filters&itemnum=77VNDand it's only $200 at Adorama. Anyone have it?
The Ebay and other cheap ones are usually plastic.