As Gerhard said the sky often benefits from slight underexposure... but what also happens is your foreground will also be underexposed and darker than it should be. This is a common issue with landscape photography and as Gerhard pointed out you can bracket your shots and then place them together in an editing program. Another way to deal with this is a split neutral density filter...... it's a graduated filter that goes from dark to clear.... it allows you to give proper exposure to the foreground and hold back light from the sky at the same time. Neutral density filters come in different strengths or stops (that work again!) and it's a common and popular tool of landscape photographers.

I am, therefore I create.......
--- michelleamarante.com