D4rKM4tch, sky textures are not like regular textures, the little 16x16 light blue texture called SKY that you use in Hammer simply tells Half-Life to load the environment map that is specified under Map Properties (Map menu>Map Properties...>Environment map(cl_skyname)).
A list of the default skymaps included with Half-Life is here:
http://www.annihilator.com/gameediting/halflife/editing/hl_skytextlist.htmlThe ACTUAL environment map is composed of 6 TGA bitmap files which are stored in the directory 'modnamegfxenv' and have the names blahup, blahdn, blahlt, blahrt, blahft, blahbk, where blah is the name of the environment map that you specify in Map Properties.
If you're using Steam, the environment maps, like the rest of map resources have been hidden inside a cache file, and aren't accessible anymore. BUT you can still add new environment maps like always by creating the gfxenv directory in 'SteamSteamApps<youremailaddress><GAMEname><mod_directorygfxenv' and copying whatever environment map TGA's you want into it.
It's fairly difficult to make a good looking sky map, but if you search the web, there are plenty of good ones you can download:
http://www.google.com/search?q=half-life+sky+mapsP.S. the terms 'sky map' and 'environment map' have been used interchangeably here.