When the sky is blue and clear it is because molecules in the air reflect blue light from the sun more than they are reflecting red light. The sun has all the colors of the rainbow in it; when reflected through a prism or these little molecules, you see different colors. All those colors you see in the sky are based on this principle. So just like when you shine a white light through different angles of a prism, the molecules reflect different colors when the sun is lower in the sky, such as sunset when you see the red and oranges. At sunset, the blue is then out of your line of sight.
This can be a very deep subject. You have to understand prisms and even which kinds of molecules reflect the different colors. So many really technical things to consider. In about 1859 man named John Tyndall took steps in the name of science to explain the sky's color. He proved that light passes through clear fluid and acts like a prism by polarizing the light with specific qualities and results. This is know as the Tyndall Effect, commonly known to physicists as Rayleigh scattering--after Lord Rayleigh, who studied it in more detail a few years later. His experiments showed, and proved, the amount of light scattered is inversely proportional to the fourth power of wavelength for sufficiently small particles. It follows that blue light is scattered more than red light by a factor of (700/400)4 ~= 10.
Of course, it could be that God just made the sky blue to match your eyes...if they're blue that is!