There are a few options, but it will depend on what kind of camera setup you are using.
Selective adjustment in post-processing software
Sometimes I find that images with mostly blown-out areas, can be selectively adjusted in Photoshop to preserve detail. The idea is that you crop certain areas of the image, then lower brightness or boost contrast to bring out details in those specific areas. This technique, however, will not work for completely blown out areas.
Multiple exposures
The first is to take multiple exposures of the scene. Take one shot exposed for the foreground and another shot exposed for the sky. Then you'd combine parts of the two images (i.e. sky and foreground) in software like Photoshop. This method will require a tripod or at the very least, an extremely steady hand.
Multiple exposures - HDR
In addition to stitching composite images by hand, there is now software emerging that can automatically create HDR (high dynamic range) images. These work by taking multiple exposures (typically at least 3) then automatically combining them in a manner to provide detail in otherwise shaded and blown-out areas. However, this method can also result in images that look a bit surreal (
example here). There is specific software, like
Photomatix designed for producing HDR images. This method also requires a tripod.
Graduated neutral density filters
Depending on what type of camera you have, you might be able to use filters. Graduated neutral density filters are filters that are half-dark, half-clear. The dark portion is used for the sky, thus blocking some of the light and providing a more even exposure. There's
an article on them here.
Polarizing filters
While polarizing filters won't help with a blown out sky, they do tend to darken blue skies and provide a more contrasty look (particularly if there are clouds in the sky). Again, being able to use a polarizer will depend on what kind of camera setup you have.