David is right. Generally speaking, a CPL filter will eat up about 1.5-2 stops of light. There are CPLs that are designed to block less light (the new Hoya HD CPL is said to block about a stop less than others), for my type of photography, I use the light loss to my advantage by either underexposing the sky (giving an even deeper blue) or allowing for shallower depth of field.






There's a very distinct difference between these two shots (although both were taken using a CPL). The shot on the left was taken with a 70-200mm f/2.8 L IS @ 105mm, while the shot on the right was taken with a 17-55mm f/2.8 IS @ 24mm. There effect is much less even on the pic on the right because it was taken with a much shorter focal length. Also, the effect can be a bit strong and unrealistic if you turn the CPL a little too far (which I might have been guilty of in the second shot).