Or just print it out and use some felt tips?

(guess who isnt an hdr fan?)
You've run into the problem that the camera cannot capture as wide a range of brightness as your eye (look up dynamic range). Different camera sensors have different dynamic ranges so give different results, but basically there is a point where less than a certain amount of light = black and greater than a certain amount of light = white. Your chosen exposure can set which range of light intensities you can catch, but a single image can only handle so much. So you either expose to get detail in the shadow areas - and get white 'blown out' over exposed bits in the sky or expose to catch the varying light in the sky highlights and get black underexposed shadow areas.
HDR is one way of dealing with this by in effect mixing an image which is seeing the shadows and an image which is seeing the highlights.