Sure, you can do all kinds of cool stuff without filters or crazy techniques like HDR.
Here's the first thing that comes to mind -- find some place with some interesting shapes, which will look cool in silhouette. Go there at sunset, and shoot them, making sure to tweak your exposure compensation so that the sky (sunset) is properly exposed. You can get some neat effects this way.
Doing that, you can also do some post-processing to tweak the sunset colors, increase saturation or contrast, and so on. Here's a random example from my files:
Roundhouse Sunset.
I do recommend getting a ND Grad though, if you can. It's an extremely useful filter, and worth the cost.