Depending on the environment you're photographing or the camera you're using, you might not be able to get all of the dynamic range of the scene into a single exposure. That's when you'll want to take multiple exposures and refer to this helpful video on how to blend them in Photoshop.
Coming to you from Colin Smith of Photoshop Cafe, this great tutorial will show you the basics of exposure blending using Photoshop. Landscape photographers in particular often use this technique (and Smith is employing it since he's using a drone, which often has a more limited dynamic range than a normal camera), as it allows them to capture darker areas of land and combine them with the often much brighter sky. As Smith mentions, it's generally a good idea to use a very soft brush. This prevents any hard edges from appearing in your edit and makes it much easier to convincingly blend the various exposures into a single final image. The technique isn't just for bringing back detail in the sky, though; you can also use it to sculpt the light across the photograph. Check out the video above for the full rundown!