I'm confused. If I use All Natural, what should I do to get really good looking skies?
Install All Natural like always.
Then install http://www.tesnexus.com/downloads/file.php?id=7694.
Nothing will conflict or overlap.
And read the readme for All Natural, particularly the section about recommended mods:
Animated Window Lighting System and Chimneys (for exterior windows lighting)
Storms & Sound (for more interior weather sounds and exterior lightning strikes)
Rainbows in Tamriel v3 (because it's pretty and works perfectly with All Natural)
Natural Habitat ONLY from Natural Environments mod
Enhanced Vegetation (superior to Natural Vegetation)
Any water mod such as Enhanced Water, Natural Water, Phinix Waterfix
Your favorite nebula sky texture mod
Your favorite star texture mod
Your favorite sun/sunglare replacement mod
Please note: All Natural DOES NOT INCLUDE any night sky/stars/sun replacement textures. Therefore, you can use your favorite night sky, stars, and sun replacement mods just fine with All Natural. Simply install them in the regular place as their instructions should indicate. Brumbek shamelessly suggests you try his sky texture pack.