I'm a big fan of graduated ND filters. It just feels good to get the exposure right in camera and GND filters have become my most important piece of equipment besides my camera and tripod over the last years.
I usually use one or two GND filters stacked in front of the lense when I shoot sunrise or sunset scenes and this gives quite good results ... mostly.
Sometimes, when the horizon isn't even enough the filters produce some dark shadows and I lose detail in those areas. Or sometimes when I do a long exposure shoot, changing light conditions during the exposure lead to an image which either is to dark or has some lost highlights in the sky.
That's why I often take two or more exposures in addition to using filters. My rule is try to get the main exposure right. But still get an additional exposure for the darks and/or the lights if the histogram or exposure warning on the back of my camera show critical areas.
With those multiple exposures I’m able to get a more detailed and even image during post processing. I created a video tutorial on Blending Multiple Exposures where I show how I do this.
The whole process is based upon the use of the luminance masks by Tony Kuyper. He has some great tutorials which describe the creation of those masks.