The other extreme from using an ORM "for everything" is using SQL "for everything", either via loads of handwritten ad hoc SQL, or stored procedures, UDFs, views, or a mix of all of these. This is just a different nightmare. And don't be fooled: it really is still a nightmare.
A sensible approach blends use of an ORM with handwritten SQL where needed. In fact most ORMs will allow you to do things like build collections of objects from custom SQL anyway, so there's really no need to shy away from it.
One other thing I'd say: I wouldn't necessarily trust my ORM to adequately design my database for me via a code first approach. It's more work but thinking about the data model and explicitly designing the database often yields better results, and you have more control. Code first is OK for simple stuff, but often even simple stuff becomes complex over time so I tend to shy away from it.