The answer is mostly blue of course, but the problem for painters is which pigment to use. What you might choose today didn’t even exist six hundred years ago. This article looks at what has been used instead.
Azurite
Like ultramarine, the most famous blue of all, azurite is a mineral, but being found more widely and in more prosaic locations, it lacked the cachet of the blue from across the sea. It’s formed from basic copper carbonate, the same chemical as malachite, with which it is normally found, but formed into a different crystal structure. It was known to the ancients, but used little in European painting until the Middle Ages, as Egyptian blue was far more popular in classical times.

The sky in the van Eycks’ magnificent centre panel of the Ghent Altarpiece, the Adoration of the Lamb, from about 1425-32 relies on azurite, where it has now turned slightly green in parts.

It has also been found in Piero della Francesca’s famous Baptism of Christ, which was painted in egg tempera after 1437. I suspect that it was used throughout its lucent sky.

Another notable and impressive use of azurite as the sole blue pigment is Albrecht Altdorfer’s Christ Taking Leave of His Mother from about 1520, here in oil paint. All the blues seen here in both clothing and sky rely on azurite for their colours.

In Rubens’ late Autumn Landscape with a View of Het Steen in the Early Morning (c 1636), it’s azurite which provides the colour for his magnificent sky.
Smalt
For over four millennia, people have made blue-coloured glass by adding minerals such as smaltite to potassium glass during production. It’s not known when it was discovered that this blue glass could be ground into a powder and used as a pigment, which was named smalt. There have been claims that this was first used by a Bohemian glassmaker in about 1550, but there are scattered examples of its use long before then, and at least one lump of cobalt blue glass dates back to around 2000 BCE.
From the late middle ages onwards, smalt has been one of the mainstay blues. With most of the particles being made of transparent glass, though, it has low covering power. Its one vice is that it can discolour, becoming paler and losing chroma over time.

Paolo Veronese used smalt as the main blue for the skies in his series of four paintings The Allegory of Love. This is Respect, from about 1575, which also has suffered some weakening of chroma in its sky.

Pieter Brueghel the Younger’s Massacre of the Innocents from about 1615 is another victim of discolouration, where the smalt has faded in its sky.

Smalt has also been found in the blue in the sky of Claude Lorrain’s superb Seaport with the Embarkation of the Queen of Sheba (1648).
Prussian blue
Egyptian blue, first made before about 3000 BCE by heating together powdered limestone, malachite, and quartz sand, to form calcium copper silicate, had been the first true synthetic pigment, but was forgotten before azurite and smalt became popular. Once the next synthetic pigment became widely available in the early eighteenth century, use of those pigments was quickly discontinued. The new pigment was a hydrated iron hexacyanoferrate complex soon known as Prussian blue.
No one knows who first made Prussian blue, nor exactly when it was first synthesized. It seems to have appeared initially around 1704, and its origins have been attributed variously to Diesbach in Berlin, or Mak in Leipzig. For once its name is appropriate, as it was a product of the Prussian Empire. Its potential as a colourant was recognised by 1710 when it went on sale in Berlin, and by about 1724 it was being manufactured in several countries across Europe. Azurite and smalt had vanished from artistic use by 1800.

Canaletto is one of the first Masters to have used Prussian blue extensively. Grand Canal from Palazzo Balbi toward the Rialto from 1720-23 has been attributed to him as one of his earliest surviving works, and has been found to contain Prussian blue. This readily supports the blue-black colours in the left of the sky.

Canaletto was quickly using the pigment in almost all his paintings, including this view of the Rio dei Mendicanti from 1723-24, above, and his famous The Stonemason’s Yard (c 1725), below.

Cobalt blue
The powdered glass in smalt was blue because of the cobalt oxide it contained. In 1803-04, Thénard discovered cobalt aluminate and recognised its potential as a pigment. As this preceded the introduction of artificial ultramarine, cobalt blue was quickly introduced into artists’ paints, becoming available in oil paints and watercolours from around 1806-08.

So far, I believe that the earliest recorded use of cobalt blue is in the sky of JMW Turner’s oil sketch of Goring Mill and Church, thought to have been painted in 1806-07.

Caspar David Friedrich was another early adopter, and used cobalt blue in the sky of his superb Riesengebirgs Landscape with Rising Fog in 1819-20.

Turner’s famous painting of the Fighting Temeraire from 1839 is probably the first major painting in which cobalt blue was used so extensively, as the artist appears to have used it throughout both the sky and water.

Cobalt blue seems to have been a favourite pigment with the short-lived Canadian painter Tom Thomson. The pigment is here responsible for the blue sky as well as the water.

Analysis of Grant Wood’s famous American Gothic (1930) has shown the use of cobalt blue, although I suspect that was mainly in the sky and in the pale blue lines decorating the man’s shirt. Most recently, the pigment has been found in paintings by Mondrian, David Hockney, and Frank Stella.
With the rise in concern over the toxicity of pigments in the late twentieth century, confusion has arisen over cobalt blue. As with all cobalt salts, when absorbed into the body cobalt aluminate has nasty effects. But bound in pigment particles in oil, watercolour, or acrylic paints, and being almost insoluble in water, its absorption from the gut and skin appears to be extremely low. There remains significant risk from the inhalation of dust from pastels containing cobalt blue, though.
Indanthrone and phthalo blues
Cerulean blue had actually been discovered before cobalt blue, but wasn’t introduced as an artists’ pigment until the middle of the nineteenth century. Indanthrone and phthalo blues are modern organic pigments which became available after 1900.

In this sampler of modern oil paints made by Williamsburg, each is shown straight from the tube, and below in approximately equal mixture with titanium white. The pigments are, from the left: cerulean blue (genuine), cobalt teal, cobalt turquoise bluish, cobalt blue, ultramarine blue (synthetic), indanthrone blue, and phthalo blue.
So the sky has been Egyptian, azurite, smalt, Prussian, cobalt, cerulean, indanthrone and phthalo blue, depending on when it was painted.