Hi Matthew,
Photographing tall structures creates something of a problem for most photographers. There is a desire to darken the sky, but you hit a problem when the main subject is also looming up into that sky.
When film was all most photographers had to work with, the graduated neutral-density (ND) filter was the most common tool for darkening a sky, but it is a rather broad-brush. You could not darken the sky without darkening any subject that was also in the upper part of the picture.
Ideally if I was making this photo, I would be more inclined to shoot in RAW mode, then darken the sky in post-production using the RAW convertor. Programs like Lightroom and Adobe Camera RAW let you use adjustment brushes to selectively darken specific parts of the picture.
The easiest way to darken this sky would be to open the image in Camera RAW and then adjust the tones and brightness for the lighthouse and the foreground. The next step would be to choose the Adjustment Brush and in the control panel, set the Exposure option to about -1.50. Now start brushing over the sky and you will see it getting darker.
There are a couple of useful tools you can use when using the Adjustment Brush. One of these is the Auto Mask option that automatically determines what you are trying to adjust and will stop whenever it encounters a hard edge. The other useful tool is the Erase Brush. You can also control the flow of these brushes. I usually brush on an effect at 100 percent, and then brush away what I do not want with the Erase brush set to as little as 5 percent.
Don’t forget that you can adjust the size of the brush to work about small details.
Adobe Lightroom and Adobe Camera RAW offer a Graduated Filter option that works almost the same as the Adjustment Brush. Instead of brushing on the effect though, you simply drag on the filter much like you will pull blinds over a window. Just like the ND filters you put on your camera, the Graduated Filter in Lightroom and Camera RAW works well when you have a plain sky with no structures. That being said, I occasioanlly pull two digital graduated filters over a picture, one from the upper left and the other from the upper right corner to work about tall objects in the centre of the frame.
Now, if you are not keen on working in RAW mode, there is one other technique you could have tried here. It involves making two photos, one with and one without the ND filter, although you will need to have the camera on the tripod and be absolutely careful not to bump the setup as you make the photos. Then, once back and home, open the two images in Photoshop Elements or a similar package, copy and paste the ND filter image on top of the non-HD image and then use a Layer Mask to slowly reveal the lighthouse. This way you keep the dark sky but reveal the properly exposed lighthouse.
Hope this is a help!
Cheers,
Anthony