Out of curiosity, what focal lengths have you tried them on?
The polarization of the sky varies with angle to the sun, and if you use a lens with too wide of an angle of view you can end up with uneven coloration on the sky.
I personally find roughly a 35mm(35mm eq.) to be a comfortable max for polarizer use, and I really prefer working with them in the ~50mm or longer lengths. Once you get down to about 24mm, you're asking for trouble if the sky is in the scene.
The common effect is that you get a sort of soft-edged parabolic "finger" of darker blue in your frame when you start getting into really wide angles, but it can at least partially show even on longer lenses.
If you're nutty about rich blue skies, in my experience at least in my area nothing beats a clear fall day. Some of my best photos that included that sort blue sky were taken on such days with no polarizer. That sort of thing also goes to show that filters are often used to salvage what is otherwise marginal light-nothing beats good light.
Of course, if you're cutting reflections from water or windows or darkening foliage, there's really no substitute for a polarizer.
