I have the set of Tiffen soft/diffusion filters which I collected over a few years. Yeah, they're not cheap and, in an ideal world, you'd buy a set of them in different strengths because you need to change the filter when you change the focal length of the lens.
I reckon my filters cost more than a prosumer camcorder! but then I can charge the client when I use them.

Have a look at Formatt Filters as they're a bit cheaper than Tiffen and, in my opinion, just as good. Also, for HDV you don't need to go for glass and can get decent resin filters from Formatt (NOT Cokin!) for about a third of the price of glass. They just need to be taken care of, as they scratch easier than glass. Start with the lower grades of filters. Half and number 1, for example. The stronger grades are hardly used at all and the weaker filters will make hardly any difference to SD or HDV images.

Also, think about renting if you've got a specific job.