How to create Sky in 3D games

I am going to build a 3d racing game but i failed to make sky. Can anyone tell me that how can i create sky in game
Please tell me some methods or tricks for creating sky.
Also can anyone give me example program which is compile-able so that i can easily understand

I think that mostly games use the sky images rather than using complex algorithm to render it in real time. First make the image and save it in image format. Then load it in the memory when the game started.