The ND grad is similar to an ND as the name suggests but fades (graduates) from dark to light across the diameter of the filter.
You know those photos where the sky is always white (blown out) although it didn’t look that way when you looked though the view finder. Using an ND Grad will allow you “even out” your exposure.
This is one area where the Cokin filters truly have a big advantage over a screw on filter. With Cokin (and several other brands) you can position the filter to match your composition, by rotating and adjusting the position of the filter at will. Where as the screw on filters can only be rotated on the end of the filter, and may not match up 100% to the brighter area of your photo.
ND Grad filters also come in a lot of different colours from different manufacturers a lot of which will fit the Cokin P filter system. If you find yourself taking a lot of landscape photos then investing in such a system does make a lot of scene. But as I was wanting to lighten my camera bag I decided to limit my filters and had to make a sacrifice in this area