Make a nurbs sphere and cut it in half. Kinda like cutting an orange in half. Select the middle isoparm and edit curves>detach curves. Place the half and size it on top of your scene or objects.

Create a lambert material in your hypershade. In your attribute editor add to the color a ramp texture by clicking on the checkered box on the right side of the color. Apply it to the nurbs sphere.

In the ramp texture options select type to U Ramp. That way it's place in the u direction of the sphere. (vertical)

I usually keep the colors of the ramp to three. Click the small circle to change the color at the bottom of the ramp. I keep the top color bright yellow, the mid light blue and the bottom dark blue. Depending on the mood you're trying to set in your scene. You can move the placement of the ramp colors by clicking and dragging the small circle up and down, or if you want to erase a color click the x box to the left.

Voila! you got a sky!

To get clouds it's a bit more complicated. I'll post it though.