Setting a z-position for sky entities and allowing models to display behind them would be very useful indeed. However, to be truly useful for our purposes, sky entities would also have to be able to use planar images (in addition to cylinder, dome, and cube) that always face the camera and that can be easily animated without much hit to the framerate (using a bmap object pointer would be a start).
It would be useful if all sky entity types could be easily animated, as I imagine that many people would want to prerender a cycling animation of clouds to use as their sky texture, for example.