The blue sky is caused by refraction of the blue spectrum by atoms in the air.
A clear cloudless day-time sky is blue because molecules in the air scatter blue light from the sun more than they scatter red light. When we look towards the sun at sunset, we see red and orange colors because the blue light has been scattered out and away from the line of sight.
http://math.ucr.edu/home/baez/physics/General/BlueSky/blue_sky.html
In the evening, the sky sometimes looks orange or red because of air pollution. Dust and other floating particles in the air act as a filter on the sunlight. When the sun is low the air layer is thicker and the light is more filtered, so it looks yellow, orange and finally red.
http://www.sciencemadesimple.com/sky_blue.html
Light of a particular color is determined by its frequency. The higher the frequency, the more blue it appears.
Sunlight is made up of many frequencies that when mixed together produce white light. You may have seen a rainbow or the prism experiment where the white light is split up into several colors (frequencies).
The earth's atmosphere is filled with minute dust particles that act like a filter, scattering the light rays. The rays of light with the longer wavelengths, such as reds and yellows, tend to travel more easily through the atmosphere, while the rays with the shorter wavelengths, like blues and indigos, tend to be dispersed more easily. These more easily dispersed shorter light rays are what give the sky its blue color.
Incidentally, red skies at sunrise and sunset are caused by the same phenomenon. When the light hits the Earth at an angle it has more of the atmosphere to go through; this increases the filtering effect and that is why you see a red sky.
The sky appears blue because when sunlight filters through the oxygen in the atmosphere, the oxygen absorbs all other colors but blue. The reason the sky is not so blue that it is black though, is because only 20% of the atmosphere is oxygen.
The sun light from the sky is a result of the scattering of sunlight, which results in a light blue color perceived by the eye. In day Rayleigh Scattering gives the sky a blue gradient - dark in the zenith, light near the horizon. Light that comes in from overhead encounters an air mass 1/38th of the mass that of a sunbeam coming along a horizon paths. So, fewer particles scatter the zenith sunbeam, and, therefore the light remains a darker blue.
