I've grown to love long exposure photography.
Sometime last year, I got a set of filters for my Sony camera. It's the entire Vu Professional Filter Kit, and it's absolutely amazing. In particular, I have fallen for the 10 stop filter. It's basically a nearly black piece of glass, which means you have to have a really long exposure in order for enough light to get through and make a photograph.
So all you do is set your camera in Bulb Mode (most cameras will top out at 30 seconds as a maximum exposure time setting - in Bulb Mode you can go much longer) and go for it. It's really quite easy. The only hard part is having to wait for several minutes to see what your photo will look like! The waiting is the hardest part, as the song goes.
When I got the filters, I went out to the Loop 360 Bridge here in Austin (it's near my house, and a lovely subject anyway) and fired away. The benefit of the long exposure is that is smooths out the clouds and the water and they look at awesome. It's fun!