I'm always fine when photographing a blue sky, but a grey sky always gives me problems (clouds and no sky).
Here's a link to a photograph of mine with this problem:
http://www.deviantart.com/deviation/56496864/
I'd assume a faster shutter speed and lower ISO sensitivity might work, but I still haven't gotten satisfactory results.
Any help would be appreciated! 
The bridge is in Prague. With gray skies there is not much to do other than to add a graduated filter as mentioned by gryphon1911. Get the square type that have "soft edges" because the "hard edge" ones can be to drastic.
The links below are examples to look at, there are cheaper ones but you have to look at the different ones and check how much you want to spend.
I hand hold mine so I can adjust it where I want with out using a holder but you can get one of those if you require one.
http://www.bhphotovideo.com/c/product/100362-REG/Hitech_HT1407_4×5_Graduated_Neutral_Density.html
http://www.bhphotovideo.com/c/product/100494-REG/Hitech_HT1583_4×5_Combination_Graduated_Sunset.html
When gray skies are out like that images have a tendency of going "flat" so try to stay away from having so much skies in your photos this way the average viewer will look at something else and not notice the sky.
Hope this helps,
Kevin
SLR meters are set to 18% grey as the "standard". Grey skeys fit that mold, so they appear correct to the meter. Same problem can occur with a blue sky with clouds, except on that it usually comes out all white(overexposed).
You could:
a) spot or center weight meter on objects other than the sky.
b) use a grad neutral density filter
c) take 2 exposures, one for the sky, then another for everything else, and combine the 2 images.
References :
The bridge is in Prague. With gray skies there is not much to do other than to add a graduated filter as mentioned by gryphon1911. Get the square type that have "soft edges" because the "hard edge" ones can be to drastic.
The links below are examples to look at, there are cheaper ones but you have to look at the different ones and check how much you want to spend.
I hand hold mine so I can adjust it where I want with out using a holder but you can get one of those if you require one.
http://www.bhphotovideo.com/c/product/100362-REG/Hitech_HT1407_4×5_Graduated_Neutral_Density.html
http://www.bhphotovideo.com/c/product/100494-REG/Hitech_HT1583_4×5_Combination_Graduated_Sunset.html
When gray skies are out like that images have a tendency of going "flat" so try to stay away from having so much skies in your photos this way the average viewer will look at something else and not notice the sky.
Hope this helps,
Kevin
References :
Professional Photographer
I agree with the previous two posts. The sky appears uniform gray because it is in fact slightly over exposed.
Method one: Use a graduated ND filter
Method two: Re-take the shot at sunrise or sunset
Method three: There are also such things as graduated blue filters to make a gray sky appear more blue, however photos I took with mine made the sky look artificially corrected. I took a few shots with mine and then never used it again.
Bear in mind also that because this is a natural photograph if the scene, the current light balance is more than acceptable. Overall the shot is correctly exposed.
Our eyes are wonderful things, they can see a large range of light levels and automatically correct. Camera film cannot see as large a range as the eye, tending to either record all black or all gray/white areas in a photo. Digital sensors have even less "latitude" than film does. So sunrise / sunset photography is a key. Time it right and you get to balance the sky against the predominant lighting of the scene. Also sometimes the fact that lights are on, but not the sole source of light can create some wonderful effects.
BTW, I also have a D80. What a fantastic camera.
References :