You can make a sky more dramatic by using a split, graduated neutral density filter in front of the lens. Often the sky is so much brighter than the foreground that it either makes the sky too light or the foreground too dark in comparison to what the human eye sees.
The “split grad” filter comes in two types. One is a round threaded filter that screws into the front of your lens, and then can rotate to put the darker gradient in the orientation you want. The downside to this filter, is that the “split” is right in the center of the image. Sometimes you might want to compose the picture as one third sky, or two thirds sky, so you might prefer the square versions of these filters. You can get special holders for them, but most photographers just hold up in front of the lens. That makes it easy to put the effect where you want it.
They come in different strengths, but usually you want the middle strength for most shots. They also come in different qualities and price ranges. If you are starting out, I would recommend that you pick up some of the inexpensive ones to see if they suit your needs. You can spend a lot on these, but depending on your use, they might not be necessary. In theory, the more expensive ones are more optically perfect, and less likely to cause problems with sharpness or distortions.
The nice thing about using the square, split grads, is they can be used on any camera, even a smartphone! They are also easy to carry with you, as they are flat and can fit in a shirt pocket.
Note, that you can also use a polarizing filter to darken a blue sky and not change any other color in the scene. Unfortunately, the position of the sun will affect how well this works. If it is overcast, the split grad may be more useful, as the polarizer will have little or no effect in that situation.
Here are some Split Grad filters from Amazon.com
Round, Threaded, Split Neutral Density Filters
Set of 6 Neutral Density and Gradual Square Filters
Image source: Amazon.com