In reply to jaypee: I have my slr set on -1/3 exposures all the time. I find this helps alot. Also when you are setting the exposure try and expose it on the brightest thing. I set mine so that the centre AF point is the metering point and aim it at the brigthest thing there is in the image. As dek also points out you can use the shadow/highlight tools in PS to alter the image.
I stopped using filters a while ago and I dont think they are really necessary but thats a personal preference. I dont think a UV filter is necessary either at 4000m apart from maybe protecting your lens. The polarising filter will enable you to achieve bluer skies but at the expense of a slower shutter speed for a given aperature size- but at the end of the day you're just adding colour to a scene that wasnt there in the first place (again personal preference!).
It took me a while to get used to my digi slr when i first got it and I think like you, I was a bit disappointed at first. Its just a case of getting to know how it captures images and then compensating for it. Much like using a different film or something really. The best thing you can do is just play around with the settings and eventually you will get what you want
good luck
jon