Alright, I'll bite.
Air is nominally translucent, but even with its low density, across sufficiently large distances, light scattering becomes significant. As in a prism, photons are deflected by varying amounts depending on their energy state - lower-energy photons are not deflected off the mean velocity profile as far as higher-energy photons are. Pursuant to this, the greatest amount of scattering occurs in upper spectrum of visible light: blue and violet. In addition to scattering, atoms in the atmosphere also absorb light at specific frequencies. For example, ozone (O3) absorbs significant amounts of high-energy photons, most famously X-Rays and gamma rays, but also ultraviolet wavelengths; nitrogen is similar. In addition to this, water vapour and carbon dioxide absorb significant amounts of infrared radiation. Due to this absorption, the dominant wavelength for the visible sky during most of the day is blue. The only exceptions to this are at sunrise and sunset, and during overcast weather where there is no direct sunlight. During sunrise and sunset, due to the position of the sun relative to the visible sky, solar light enters the atmosphere at a tangental vector with respect to the atmosphere and earth's surface. The increased distance the light must travel through the atmosphere therefore causes higher-energy photons to be scattered out, leaving only the lower-energy photons to reach the eye. When there is no direct sunlight, and indirect sunlight is still present, the light that reaches the surface is largely diffuse, leading to a color-neutral tone and the "gloomy" feeling of a grey sky.
Now you know, and knowing is half the battle.
EDIT:
Cheater.
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