Oh I agree completely! It is somewhat disappointing when you get a wishy washy sky and I wish I knew how to correct it. I only have a point and shoot camera, which has limitations but, it is a reasonable quality one and I feel there must be some way round it. I assume the problem on this one was created by shooting through the archway as,other photos I took on the same day and same place have true sky colour!! Any ideas?!!
Well first I would advise if you have the money, invest in a DSLR. It doesn't have to be an expensive one, but you obviously have a good 'eye' for photography and so it would be a worthwhile investment to see how much more you're capable of.
Second, the experts would advise that you use the DSLR to take multiple pictures at different exposures to capture all the detail in light and dark areas of the scene - then merge these in photoshop. I've never done this myself, I've found you can get almost as good effect using colour and tone mapping tools (I do this in GIMP).
BTW - I'm an amateur - I've never taken a photography course, everything I've learned has been on the go and following tutorials in magazines and online. I'm really not that good and my shopping skills are sub-par, but I think the most important thing is to have fun; improve and find as many interesting and unusual things to capture as you can.