Graduated neutral density filters. If you're taking landscape photographs, then they are pretty much a necessity for the kind of shots you linked.
Singh Ray make them, and there's a nice explanation on their page
I actually wrote an article on them for ND Magazine a few years back explaining how they work.
Singh Ray are good, but pretty expensive, Cokin are probably the cheapest, and what most people start out with. They do have a tendency to change the colours in the sky a little though.
I use Lee because they don't leave any colour cast and are really tough. There's also Hitech, but I've never used them, so I'm not sure how good they are.
You CAN get exactly the same effect by exposure blending, if you don't mind doing more work on the computer. Put the camera in a fixed position on a tripod, take one shot exposed for the ground, and then another a couple of stops darker exposing for the sky, and then in PS, layer one ontop of the other and paint the two together. This isn't the same as automated HDR which you get in programs like Photomatix, and generally looks unrealistic and nasty.
It does take time to blend the layers well though, and I personally prefer to get it right in camera, and then not have to spend ages painted the different layers together. There's a really good article on how to do it by David Clapp, although he's very opposed to using filters and keeps going on about it. I'm not sure why, maybe he prefers sitting infront of a PC layering images.
Anyway, hope some of that helps
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