The “sky” is composed of a few different elements:

Fog – Starting with the closest and moving out, we have the all-important fog. I use the fantastic Fog Volume for this. The reason I love fog volume is because of its gorgeous and fairly cheap light in-scattering. If you’ve never heard of in-scattering, I suppose it can be described as the look of sunlight passing through fog. I’m not talking about god rays (though in real life I believe its caused by the same thing). It adds a lot of depth and a sense of light direction to the atmosphere.

Clouds – Call me old fashioned, but I like the look of photo clouds. The biggest issue with photo clouds is that it is difficult to make them dynamic. My strategy was simply to take photos on a day that the clouds didn’t have a strong sense of light direction, combined with touching up the parts that look too directional. Once I had my 360 degree cloud panorama, I made an alpha mask cutting out the blue parts because I wanted to encapsulate the clouds seperate from the atmosphere. I mapped my clouds to a dome that rotates slowly to give the impression that the clouds are moving along the horizon. This trick is stupid simple, and is ineffective for giving players the impression that clouds are passing over them, so if you want that you will have to combine this with other methods like overhead UV scrolling clouds or something like that. I actually haven’t gotten around to doing overhead clouds yet, but funnily enough players tend to rarely look directly up and haven’t noticed.