Historically when using a film camera you could use various plastic filters held in front of the lens. Often they would be darker at the top, so that the sky did not appear too bright.
Using digital graduated filters in Adobe Lightroom is the same idea, but much more flexible. The biggest advantage is that they can be used after the photo has been taken. It is possible to vary the strength of the effects, the shape and have multiple graduated filters used on one photograph.
All of these effects are used on RAW images. The camera has to be set to take RAW images rather than JPEGs or TIFFs. The main advantage of using RAW format increases the number of adjustments that can be made.
All my shots are taken in manual rather than auto setting. Intentionally underexposing images makes the colours richer and avoids the possibility of blown highlights – losing their details.