There are three simple techniques to create a nice sky in a game.

• Skybox: Good when the sky can be viewed from all directions. For example in a space game. It is basically a box with inverted faces.
• Skydome: Probably the best choice when rendering outdoor scenes with terrain. For example a driving game. It is basically a half sphere (dome) with inverted faces.
• Skyplane: Sometimes an option when rendering outdoor scenes and you should not be able to see the horizon. It is just a plane with the normal pointed down and a sky texture attached to it.

Information and tutorials about skyboxes:
http://www.toymaker.info/Games/html/skybox.html
http://www.gamasutra.com/features/19981023/bell_01.htm

Information and tutorials about skydomes:
http://www.spheregames.com/index.php?p=templates/pages/tutorials
http://www.riemers.net/eng/Tutorials/XNA/Csharp/Series4/Skydome.php
http://www.flipcode.com/archives/Sky_Domes.shtml