Since Zdoom 1.23 Beta 33 everyone's favorite sourceport is capable of Unreal style skyboxes if I can recall correctly but still this feature is often heavily underestimated. This is the only explanation why there are still ZDoom wads out there that just use a texture as sky. The great power of a skybox isn't the fact that it is a 3D object instead of a 2D texture, it is what you can do with it.
Shot one shows a screenshot from a map of Torment & Torture 4. Hundreds of burning meteors devestate the structures, thunder and lightning brawls through the bright enlightened sky... and almost all is done with the help of some scripts that change the sectors responsible for the sky.
The second shot shows another way how to use a skybox. Unfortunately this isn't animated but I think you can imagine what this is upposed to be. The simulation of a spaceship rushing through the space was always a big pain in the ass with vanilla doom or boom. But with the help of skyboxes this is very easy to achieve, making it almost look like the Starwars Hyperspace flight in the millenium falcon!
The third shot - last but not least - shows a full 360° skybox that makes you think, these platforms are floating high above a see of lava. In the background, a bright huge energy beam shoots plasma into space, hundrets of miles far away and you have to take care to not fall off the edges of these metal platforms.
I learned that with the help of these skyboxes every single scenario you have in mind is possible with doom. Just think about other places where a skybox might be helpful: Submarines, Space Ports, Planet Atmospheres... think about events and settings that have almost biblical proportions and you will see: It is possible with skyboxes!
Summary: "Do not underestimate skyboxes and if possible, always use them!"