It used to be a bigger deal to have the clouds dampen the sun and give you more evenly lit composition. With HDR photography you can still get the intensity of the sunrise or set while capturing the details of the scene like the photo below:

You’re point of ND filters is a great addition. They’re essentially sun glasses for your camera to allow your “camera’s eyes” to open wider and see more detail rather than squinting. They’re a good alternative if you’re not interested in HDR photography.

I’d love to see your photo of the moon. You can upload it to photo bucket or Flickr and post the url in the comments. The only guess I have was that the overall exposure was -5 although the moon looked just right, so it must have been a small moon?

I notice when my camera (Olympus e-620) is in Manual mode, I cannot change the Exposure compensation. For example, when photographing a full moon, I set the camera to f/11 @ 1/125 ISO 100. The exposure went to -5. When I later looked at the metadata, the exposure setting read –. The image was very good. The sensor must be automatically setting the exposure values.

Did I miss mention of ND filters? By darkening the sunlit sky, the filter allows opening the stops so that more of the dark foreground can be exposed. Right?