This is an interesting topic. Everyone has a different view on this, and it likely depends on which "school" of photography you subscribe to.
First of all, let me start with my position: I am a fully 100% digital convert, and I think anything goes to get the image you envisage - as long as you say what you've done to get the image.
For example, is it OK to digitally blend two images together to get an image that otherwise would be impossible (physically, technically or temporally)? By this, I mean two exposures, one made for the sky, and one made for the land. Again, I say it's fine, as long as you say what you've done, and why. Using graduated filters in either digital or traditional film photography essentially allows you to get all the elements of the photograph within an acceptable range for the sensor/film to capture the image as our eye does, rather than lose highlight or shadow detail in trying to compromise. Also, the dodging and burning technique of developing black and white prints from negatives also enhances real life tonal range for dramatic and emotional effect. Digital allows this to be done to a greater extent, and across a wider range of challenging technical areas impossible in film, so why not use it if it’s available? I do use filters and try to get the exposure right at source, but sometimes you can’t or you want an effect that even filters would not be able to produce – something natural like your eye would see.
I would just like to qualify this to some extent. I think nothing replaces the ability to "see" a picture in the first place. You need good substrate to make something worth looking at, and that will hopefully evoke a reaction. You need to have some impact upon which to build the final image. You need to be able to know where the elements of the photograph should go in order to achieve the desired effect. This is composition, and it applies to light as well as physical elements such as trees, rocks, walls etc.
The ability to compose effectively at source differentiates a manipulated image from a montage, one in which disparate elements from many photographs are brought together to make a new image. Many of the current photo magazines encourage this form of photo assembly/montage, bringing deer into woodland images, adding fences, mist, hills, trees (even) to make a "natural" woodland scene. This is a montage, and, while being a valid and worthwhile art form, it is not what I would call photography – it is digital art, rather than digital photography. These montages also tend to look artificial, as the various elements are usually photographed at different times of day, with different light direction, intensity and temperature, however well they are blended together.
So, is adding a new sky not a montage? Well, to me, it’s not, but neither is it the same as “pure” photography. It’s adding drama to a scene that needs it, and, if done at the same location although on a different actual day, it falls short of a montage to me. That said, I used to do this a lot, but now, I don’t, unless I am trying to have a bit of digital “fun”.
I now very much prefer to get the best image at source, using filters and a better knowledge of exposure, and find that very satisfying. I used to want to improve my digital montage skills, but no more. I want now to take a good source image, and limit my manipulations to cropping for maximal impact, and then deciding what tone, contrast and color balance the image would need, akin to how one would have processed film for different effects.
This is not to limit the scope of digital photography – all this can be done, with care, relatively quickly and to great effect, without requiring the need for messy chemicals, a dark room and the mastery of the dark art of developing. I don’t agree that there is no skill in digital developing – it is easier and more convenient to have a “digital darkroom” than a traditional one, but skilled digital imageers (as I have seen them called!) are as skilled as there traditional forebears, and their skills should not be under estimated.
So, try and get a great source image, but don’t be afraid to use digital manipulation to increase the impact or achieve a different mood. Have fun, digitally, by doing montages, but don’t pass them off for real photographs. And, if you do want to replace a sky, make sure it’s done realistically, and say that it’s been done. It’s all valid, and all worthwhile if a great image, whether real or not, is produced.
I welcome comments and elaboration on this topic.