The blue sky is obviously a classic, but nowhere near as cool as the yellow-purple-ish sky of a pretty sunset. The only other natural options are dark and headache-gray, of which one (dark) is dark, and the other (headache-gray) gives me headaches.
Let's make the sky change colors every few hours. It can't be that hard. We put people in rockets to fuck around in space so obviously the technology for something this simple has to be there.