The human eye's really good at adjusting on the fly when looking at scenes like this - your pupil opens and closes to let in more/less light depending on where you're looking, and you're unaware of how bright or dark the different areas can be; unfortunately the equivalent in camera - the aperture - isn't quite as dynamic and this has to be fixed for each individual shutter release. If you choose to expose for the sky, the land will be under exposed; if the land is exposed correctly, the chances are the sky will be over exposed to the pojnt highlights are blown out.
The difference in EV (Exposure Value) from sky to land can be too huge (dynamic range) for a camera to render in one single image for these shots, so capturing a set of three images bracketed* (-2EV, 0EV, +2EV in this example) can be used to produce a composite image that produces results that contain a much wider dynamic range.
As shown in the image above, after shooting the images (in RAW) then importing and applying some basic edits in Lightroom, all three files are opened as layers in Photoshop. Using Layer Masks on the over and under exposed elements, and the Gradient Tool to mask and blend each of those over the base (0EV) exposure gives a much more controllable effect, and a less harsh, haloed and over saturated look that some HDR software renders. Some fine tuning to the masks can also be applied using some large, feathered brushes to break up any obvious linear or radial effects of the masked sections.
*Most DSLR cameras and mirrorless cameras have this option available. A single press of the shutter can be used to capture the range of exposures required to achieve a set of bracketed images.