Credit: kevincole on Flickr
Photos like that are awesome. No contest!
They're achieved using a graduated neutral density filter - grad ND filter, for short. These filters consist of a piece of darkened glass which - you guessed it - gradually reduces to clear so that one portion of the image is exposed to less light than the other, resulting in some awe-inspiring landscape photos.
For those on a budget, however, grad ND filters can get pricey, especially if they are made with ground glass. If you often find yourself near picturesque sunsets and you just spent the last of your money on video games (this guy), consider the "Black Card Technique".
Quite simply, the practice involves:
1) Exposing for your foreground, which is normally much darker than the bright sky above. To achieve long exposure time for nicely blended water, stop your aperture down to f/8 or smaller and keep your ISO sensitivity down.
2) Next, hold a black, bendable card - most often found in hardware, paint, or craft stores - over the brighter portion of the image. I mention "bendable" because the card can then be contoured to the horizon in your image. Make sure to wave the card up and down a bit at the horizon point, otherwise a harsh division line will appear.
3) About 3-4 seconds before the image is done exposing (depending on your camera, you may need to count the seconds in your head), lift the card. This way, the bright sky is exposed for only a few seconds compared to the foreground, resulting in images that effectively match the effect of a grad ND filter. You may need to experiment with how quickly to remove the card based on lighting conditions.