You need a polarized filter. You need a polarized filter. You need a polarized filter. Should I say it again? You need a polarized filter.
This is the single most versatile lens in your arsenal. The primary use of a polarized (or polarizing) filter is for minimizing light coming in from a single direction—especially handy for those overblown sunny skies and hyper-reflective skyscrapers. With skies, it also works to deepen and intensify the colour, from a robin's egg blue to something closer to an azure, and bring out the contrast within cloud formations. For vegetation, the colour is enriched, making it seem more vibrant and alive. It can even cut down on those sometimes pesky reflections in windows and other reflective surfaces, providing a crisp view of the other side.
This is also one of the few filters that simply can't be simulated using digital editing technology—the direction from which the light enters the digital sensor simply isn't encoded in any image file format.
DIY polarized filters are also a possibility, either for budget concerns or for a general love of building things.
If you can afford two polarizing filter, you can even use the polarized filters to double as another important filter: an adjustable neutral density filter! By spinning one relative to another, you can go from blocking one direction of light to all directions of light as they go from parallel to perpendicular. Your photo, thus, is darkened or as lightened as much as you want, and you even have control over which light is getting effected. This is an especially potent tool for working all the usual neutral density filter places, from long exposure waterscapes to intensely bright sunny days. The details of this are described in the second half of the DIY neutral density filter article.