Sometimes the cloudy days make for crappy sunsets, but those cloudy scenes can still produce some dramatic scenes.
In July I wandered down to Navy Pier in Chicago to shoot the sun setting from their parking deck (it has a pretty decent view back towards the city). As the sun set, the clouds rolled in and things became pretty overcast pretty quickly. After the sun disappeared altogether, I walked around a bit and checked out the view from the boat docking area alongside the pier.
This is always a good place to kill some time watching the world go by with the tourists boats coming and going.