This was my first bit of Direct3D (well, apart from the obligatory spinning cube). It worked pretty well, and taught me all sorts of useful things such as linear interpolation (for finding how high the ground was where you were) to how not to render a terrain (it's one gigantic vertex buffer) to how bad my modelling skills are!
To be fair, I do rather like my skies. They were rendered by taking two hemispheres centred around the player - one slightly smaller and alpha blended - and spinning them slowly at different rates.