Good Question!

Sunlight heading towards earth's surface consists of the colors of the spectrum, each a different wavelength. The short wavelengths, generally blue, are scattered by air molecules into the atmosphere, giving it a blue hue. The longer wavelengths (other colors) are not scattered.

And for even MORE information on this topic than you could ever hope to find, visit http://math.ucr.edu/home/baez/physics/blue_sky.html (site will open in a new window.)