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

Make a cube with faces to the inside. Give it 6 2D maps or a cubemap. Render it without the depth buffer with the camera in the middle of the box. Render the world with the depth buffer on top of it.