Your question points out why many shots could benefit from HDR. If you expose to keep detail in the sky, you lose detain in the shadows (or at the minimum you make the shadows quite a bit noiser, when you bring them up with post processing). If you expose for the shadow detail, you blow out the sky and lose details in the clouds. With a subject which does not move a lot, you can tripod mount the camera, take two photos and composite them together into a single shot.
when shooting RAW, you get a bit of the advantage of HDR via the Fill control and the Recover control, but not to the same extent as using HDR.