Well firstly!
Don't JUST take pictures of the sky, it's been done a million times, and every picture of clouds that I've seen have run together and none have had any real draw to them.
Incorporate the sky into shots, use it as a backdrop for portraits, give landscapes that extra little point of interest by including a bright blue sky, get creative with it, just don't point straight up at it and hit the shutter.
Also, you need to underexpose to really make the sky look good. Since it's so bright, in comparison to everything you've got on the ground, properly exposing subjects will blow the sky out, and properly exposing the sky will cause everything else in the shot to get dark and ultimately become a silhoutte.
TiredIron's list of techniques should help, but off camera flashes help too. When you're using one, you can underexpose the entire scene, leaving only what the flashes are directed towards lit up, which will allow you to keep a bright subject and a nice dramatic sky at the same time.