I didn't think there was anything wrong with Oblivion's skies--in fact, I found them amazingly realistic and beautiful. But I do agree that Skyrim's sky needs to be more like the one in that video you showed. I would especially like to see something resembling the aurora borealis at night. Amazing!
Well I live here, so I kind of think that when I see the aurora and get a bubbling feeling of "epic" inside, and just stand there and gawk, someone who live in the other 99% of the world would surely be moved as well. So I guess a video game featuring the aurora in all it's splendor would be a good idea. I honestly think if people wouldn't want to see it, they haven't seen it IRL.
The strongest aurora I've seen was in 2005, and I swear... Everyone at school (sun never comes up in winter, so it's dark all the time) ran outside.. The sky was awash in green flame like literally 100% of the sky was JUST northern lights. Everyone just stood there, some were actually (cross my heart) crying and/or laughing and couples were having a renaissance in their expression of love too, and HERE'S the kicker: it was -40 degrees celsius (all the converters are telling me that's -40 Fahrenheit too which sounds too warm) and everyone stood there for a good 10 minutes without their jackets, huddling up.
So the aurora is something that inspires and evokes emotion in people.
http://gfx.dagbladet.no/pub/artikkel/5/54/549/549857/Nordlyset2XcopyX3_1223641639_1223641658.jpg is the best anologue I could find for what I saw that day, but the quality is a bit low. And the one I saw was way more pronounced and contrasted. But they definitely get that huge!