Skyboxes can be excellent, however another more simple soulution is to create a plane, texture it with the sky texture (scaled correctly) and scroll the texture.
This gives an infinite sky (set the camera view distance to where looks and runs good.
You can also alter the alpha and add a second layer higher up moving more slowly.
By changing the cameraclscolor to a similar blue at the 'bottom' of the sky it will continue to the ground.
I've tried a skybox and a plane at the same time to get this...
As long as you have fog on it looks ok. It looks really neat (though not realistic) if you have a sun image in the skybox and rotate it as the texture on the plane scrolls.