If you are shooting digital, don't forget HDR (not tone mapping!) so that your transformations will look more natural when you've got to tame the dynamic range of more than a straight line! Grad filter shot in a valley just don't seem to look too natural!
With good image crafting, one would never know that contrast was out of range using a multiple exposures or twice-processed files. With the Grad ND filters, they almost always scream they were filtered!
If you do use them, don't forget that the best ones come in both hard-edge and gradual and from 1-4 stops. The ND .9 hard and soft (3 stops) seemed to be my most useful, especially for film, followed by an ND .6 hard (2 stops). Neutral is key and the best I've used are the Singray. All the rest I've tried through the years have all had shown casts on the final images.
I still pack both my hard and soft edge grad ND filters, but seldom use them since I seldom have an even horizon.
Usually today, I simply use a high-quality .9 and 1.2 (3 and 4 stop) ND simply to slow down water in addition to my polarizer.