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Exposure: I find I usually under-expose by a stop or two depending on the composition. I use ND grads regularly so that plays into it as well.

ND filters: non-graduated ND filters act like stopping down your lens. Their most popular use is making the camera require a longer shutter speed to get a proper exposure. A common use for ND filters is getting waterfalls or streams to look silky. It will slow down the camera allowing anything that is moving to blur...all during daylight hours.

ND grads: A must for landscape photographers. They act like a normal ND filter but only darken a portion of the image. These are used to "push back" the brighness of the sun or sky so that the foreground isn't under-exposed.

Sunset filters: I have a set but I don't use them too often. They work well if they are used sparingly. Too much and it will look fake. As for cheating....well...using this criteria, the use of any filter would constitute cheating as would any post-processing such as dodging/burning in a dark room with film or using Photoshop for digital. It's all relative. If you are a purist, it's cheating. If you are creating art, it's a tool.

I tend to fall in the latter camp....it's not cheating to me...it's creating. Photography is like painting; you are creating a scene that expresses what you want to share. With painting, you use oils. With photography, you use light. Painters use different brushes and knives to get the effects they want in their work. Photographers use filters and post-processing to create their art.

Painters don't always create photo-realistic images. Sometimes they paint abstract or impressionist images. Many times these are more dramatic than photo-realistic images and invoke more from the image. Photographers sometimes depart from reality to make a point in their work as well. It's all good.