How to get "dark sky" photography effect

[glypo]

Something I've always wondered about and wanted to try myself. I've noticed a few people on here with photos like this:

http://fc02.deviantart.com/fs26/f/20..._by_mole2k.jpg

http://i197.photobucket.com/albums/a...poncy/lcr2.jpg

(Just picking two of the first examples I found).

I think I am correct in saying you can get the effect using a gradient filter, perhaps grey? But is it better to shoot normally, rather then filter, and apply the effect in post-processing? If so hows the best way to go about it in photoshop?

Thank you so much