The thing of it is, they are not just to make the sky darker.
They also work as an NDF and will work in other then sun light.
One good place it use them is when you are shooting in shop windows and the like, they will kill the reflection, but you must rotate them to see at what point the reflection is gone.
I just about never go out side with out it, it can make so much difference in the colors of things. Take a flower, with a polarizer you can have a much softer look, but still be a very sharp image.
You can also use them inside to kill reflections from the lights in side, it makes a big difference in some images.
One place you really can not use them is shooting though a car window. You will get some funny looking dark areas in the the shot.
Here are just a few ways they can help you.
http://www.pbase.com/otfchallenge/use_of_polarizer_lens