There are a number of things you can do:
1) On page one of your menu you should see a option called "parameters" you can tweak the saturation and contrast.
2) Change the WB. A daylight balanced shot generally looks cooler. Use cloudy or shade WB profiles to get a warmer image.
3) Attach a circular polariser (CPL, Cir-PL) to your lens. This can have the effect of saturating the blues in the sky, and giving a little extra contrast. Be careful with uneven polarisation. http://www.flickr.com/photos/ciao_chao/3853306529/ shot with CPL mainly for control over the water.
4) Correct exposure and use of HDR imaging. At sunrise and sunset situations try not to shoot towards the sun because you will have exposure issues. You can consider using Auto-exposure bracketing to get three images to merge into HDR to try and preserve both shadow and highlight detail. If in doubt underexpose a little and drag highlights out. http://www.flickr.com/photos/ciao_chao/4246383902/ example of a gentle HDR.
5) Use of Graduated Neutral Density filters (ND grad). This has the effect of increasing the dynamic range of an image by reducing the brightness of certain areas. Good when you have bright sky and poorly lit ground.
6) Shoot RAW and do correction in post processing. If you make sure you don't burn out the sky you shouldn't loose any detail. You can change the WB the saturation and even the hue of the different tones. You can drag out underexposed dark areas so it looks more like how you saw it. http://www.flickr.com/photos/ciao_chao/4056512786/ this image needed a lot of dark tones correction to get the pavement to show up at all.
7) Shoot colour negative (print) film. Film has much better highlight range, and therefore you can hold a lot more highlight detail when shooting towards the sun. Also no worries about dirt on sensor, or damaging it. You get a new one every click of the shutter.
Edit - this was shot in cloudy WB http://www.flickr.com/photos/ciao_chao/4344079027/