What's the most effective way to create a convincing horizon in the game engine? I would like to have an outdoor area in my game, however, my sky and horizon look like they're definitely a skybox, which they are. this is not due to bad unwrapping.

I just want to know if there is a convincing way to create a sky by changing the colors of Blenders natural 'sky' default gray. 

I don't need to have clouds or any of that jargon, just want the light and colors, like in this picture by gandalf3



That's the effect I need.
Try enabling Mist in world settings:



Result:



Example .blend