Oh and I think the exposure isn't necessarily your problem on rendering those great colors you're seeing.
A circular polarizing filter can help bring out colors, but works best at 90 degrees to the sun. If you're shooting into a sunset it won't do anything for you.
As previously mentioned, playing with white balance either in camera or in post can help tweak the colors to warm them up or cool them down.
To give the colors "pop" in post, there are a few things you can do:
1. Shoot RAW
2. Play with curves. A good place to start is to make an S shape. You can also tweak the individual color channels.
3. Up the contrast
4. Boost saturation.
5. Play with the channel mixer and color balance to turn a bland sunset into a fiery array of purple, orange, and red.
I've also had to learn that my eye and my camera are not the same. If I watch a sunset for half an hour, my brain tends to remember an average of the whole time. I recall all the changing colors and mix them together. It can be hard to get that whole "feeling" in a single capture. Don't let this limit you, instead be aware of it and use it to your advantage.
Here are a few shots I took of a recent sunset. Notice the changing colors throughout the shoot. These were taken over maybe 10 or 15 minutes.
http://picasaweb.google.com/mossmikej/EnsignPeak