another thing you can do (this only really applies to portrait shots or shots where your subject is quite close to the camera) is use an external flash. If you increase your shutter speed to correctly expose the sky, you can alternatively set the external flash to the correct exposure for the foreground. I've done a few shoots that way and the images turn out really nicely... it sort of blows the foreground subject out of the scene, but the balance exposures means you dont lose any detail

If you are more interested in using off camera flash, you should check out strobist... its a very informative blog detailing the use of flash, it's taught me a lot

Strobist