I ordered a tripod recently, and at the same time picked up a polarizing filter. This weekend I shot with it for the first time while out taking pictures of the river and the Sixth Street bridge.

The two shots you see at right show what an effect the filter can have on skies. The top picture is without filter (or actually just with it turned and not active), and you can see how the foreground and building fronts are darkened because in order to maintain the sky.

With the filter the sky is brought down enough that the highlights on the bridge and the foreground buildings really come out. You'll also notice how some clouds in the sky are picked out, where in the first version they just blend into the blue.

You can see this all better in the larger versions.