I haven't tried the 16-35L, but I have used the Cokin Z-Pro with the 17-40L on the 5D. Its been a while, but if I recall, there may have been some vignetting at the wide end when all three filter slots were in place. Shortly thereafter, I sold off the Z-Pro and bought the Lee holder instead. There wasn't any vignetting at 17mm, and the holder is a much better design in that it relies upon a spring-loaded brass clip to attach the holder to the adapter ring...the Z-Pro uses three tiny plastic pins instead. These pins also interfere with the very first filter slot that's closest to the lens, making it unusable unless you remove and reverse the pins. PITA, especially out in the field where its easy to drop and lose one. If you're considering the Z-Pro, the Lee setup is only a few dollars more (~$15 USD)...well worth the difference IMO.
As far as the filters go, the Cokin graduated filters are not entirely neutral and will leave a color cast on the image. This can be removed in PP, but its something else that you have to deal with. There was thread posted here recently that actually showed the color cast...a search should dig it up. The Hitech brand is a good, middle-of-the-road filter that delivers very good results. Beyond that, there's the more expensive Lee filters, and up another notch is the Singh-Ray brand.