There's usually no need for any filter for a sunset, but it will likely result in dark foregound and trees etc silhouetted against the sky. This is usually what you want.
But if you want to darken a bright sky and keep some foregound detail, which is very common in general landscape photography, then use a grad (or maybe a polariser). Blue and tobacco colours are popular, but a plain gray neutral density (ND) grad is most generally useful.
The square grads are part of a filter system, which comprises a multiple filter holder and a screw mount adaptor. They can be a bit fiddly to use but that's not a problem if you're taking your time and maybe using a tripod, and they give very good results. In particular, you can move the line of the grad up and down easily.
You can still do this with a regular circular grad, by altering the lens aperture. Small (dark) lens apertures exagerate the effect of the grad as increased depth of field pulls the line down, or you can get subtle effects with wide (bright) apertures. The other thing to note is that with wide-angles the effect of the grad is emphasised, and reduced with longer lenses.
Bottom line is, for sunsets you can probably go commando, for general landscapes an ND grad is very handy, and square ones are more versatile than round.