Set then light environment to dungeon then THEN you'll see a change
Light environments are subtle light reflection off the surfaces of textures from the direction of the light source.. I.e. Ashenvale gives a slight gray tint, while underground gives a heavy blue tint and so on.
Sky is essentiall that- sky. If you use camera triggers and set the camera to where it can view the horizon, then the sky can be visible. On normal melee games you never see the sky because there's no way to set the camera to see it, but its esssential for cinimatics because it adds to the realism. You can set the sky through the editor or through triggers. There are different skies, some ranging from light clouds to floating islands over a red skyline. -VGsatomi