Dynamic skyboxes (at least that's what I think they are called, correct me if I'm wrong), are different though. They make the sky seem bigger and more varied. They aren't that hard to do either; a mod did it for Fallout NV.
Here's a few examples of what I think are some awesome skies:
1: http://www.pcgameshardware.com/screenshots/original/2008/08/ClearSky_DX9_00.png
2: http://www.gameplaymonthly.com/wp-content/uploads/2008/01/stalker_clear_sky_20080131_1.jpg
3: http://ve3dmedia.ign.com/images/07/70/77069_Rage-Wallpaper-03.jpg
Here's a few examples of what Skyrim skies look like, which isn't that good I think... if I have to be 100% honest (I think it looks pretty much like Oblivion's skies :confused:)
1: http://media.pcgamer.com/files/2011/02/The-Elder-Scrolls-V-Skyrim-Dragon.jpg
2: http://pcmedia.ign.com/pc/image/article/114/1149185/elder-scrolls-v-skyrim-20110211094554924.jpg
So... would you want "dynamic skies" (or at least the skies to look better than in the Skyrim pics)?
Persoanolly, I'd love it. It's adds even more beauty to the skies I think