There are few options if you want to improve burned out skies on your pictures.
Most of DSLR can have bracketing option that you can set on the camera. Some can do about 3 pictures bracketing. One with normal exposure, one with lower exposure and one with higher exposure. You can usually set increment value for lower and higher exposure. More advanced DSLR which are normally full frame pro camera can do about 7 or 9 bracketed shots. For this option you normally need a tripod and do some post production to combine your shots in a software like Photoshop.
Newer cameras such as Nikon D600, D800, Canon 5DMark III and 650D(not sure) have built-in HDR function. I have tested on 5DMark III and it is awesome. The dynamic range is much improved and the images do not feel surreal.
Another option is to use 'ND Grad' filter. There are a lot of filters out there that you can use for your landscape. Cokin P is normally to start with but I use Lee filter but those are normally expensive. Hitech filters are reasonably priced and very good quality too.