I have to agree with some of the other posters : clouds have a lot to do with it, they give something to illuminate up brightly with color. As some said, you want some clouds but not too many to blot out the sun. Staying after sunset proper is vital as well, some of the best colors some out only after it has already dipped below the horizon.
However it helps even more if you have clouds off in the distance, towards the setting sun. Ones in the sky above you will lose their light quickly and be dim by the time it has set. You can see the idea here (these were from a sunrise but same idea - colors can be more vivid high in the sky when the sun is post-sunset or pre-sunrise):
http://lh5.ggpht.com/_piCyVH6Vf6U/Sg...g_3222_3_4.jpg
http://lh4.ggpht.com/_piCyVH6Vf6U/Sl...3171_69_70.jpg