They can really alter the look of a photo, without the clouds mixed with the blue sky in this picture, it would be quite a dull image.
There are a couple of different ways to get the picture to look like this. The sky needs to be underexposed compared to the rest of the image. There are a few ways of achieving this, you can use a graduated filter on the front of your lens while you take the photo. Or in post processing use a graduated filter in lightroom. Or set your shot up on a tripod and take a series of bracketed photos and merge them as an HDR photo in photomatix or similar software. Which technique do you think I used?
This was taken in San Gimignano