Unreal is, well, pretty unreal. And, in the latest installment of the UDK (Unreal Developer Kit) you can add sky (skydome, skybox) easier than ever before. Check out this video and watch how to put in sky from the existing library, or, you can create your own sky and use that. Look up, look waaaaay up and see the sky. The UDK is used for many, many games, way beyond Unreal, and you may even want to use UDK to create your own awesome game!