If you don't over-expose the sky (check your histogram when you shoot the image to make sure it isn't clipped on the right side -- which would indicate over-exposure) then you can adjust it in post-processing. Lightroom allows you to apply a gradient tint ... typically to bring down the sky.
The traditional way to tame over-exposure in the sky at the time of shooting is to use those "gradient neutral density" filters (GND) that Gary just mentioned.
This is a rectangular shaped filter which is clear on one half, but tinted on the other half. You can get them in various density strengths (1 stop, 2 stops, 3 stops, etc) and you can also get them in "hard edge" or "soft edge" versions. The filters are nearly identical but a "soft edge" filter has a very gradual change from light to dark whereas the "hard edge" makes the transition occur much faster.
For a landscape with a straight and well-defined horizon, typically a hard-edge filter would be selected. But for shots with no distinct "horizon" line (or lots of things projecting through the horizon line - buildings, trees, etc.) you can use a soft-edge filter to make it more difficult to tell where the transition occurs.
This shot that I posted in the landscape forum a few days ago was shot with a 2-stop soft-edge GND filter.

Spring Wildflowers by
Tim Campbell, on Flickr
I did this because there is no flat horizon line and I didn't want the tree trunks to make a sudden change in brightness. The soft-edge grad makes it very difficult to tell that I used a grad at all. But without the grad, the trees would have been noticeably brighter than the flowers.
You can find numerous videos explaining how to use these videos. Here's one by Lee Filters (they are one of the makers of such filters).