The sky on Earth is mostly blue during the day. The reasons for this are either very simple or very complicated, depending how far down the rabbit hole you want to go. In one sense, the colour of the sky is because the chemicals IN the sky are partly coloured, it's just a very weak effect (one in every few trillion trillion molecules responds to visible light by emitting colour). Another way of saying it is to talk about the fact that high energy light, such as blue, gets scattered about the sky more, so you're more likely to see blue light being thrown out away from the Sun, making the rest of the sky appear blue. In a sense, I'm really saying the same thing twice there. Any object's colour is a result of how much it's scattering visible light, so in a sense the colour of the sky is simply because the chemicals are blue (this is massively simplifying it, but honestly the complex explanation doesn't add much extra detail).
An even deeper answer is to admit that we don't really know 100% why the sky is blue. It's a result of the way light interacts with certain types of magnetic molecules and the complete mechanism isn't understood. There is also the fact that dust and vapour particles in the air will colour it. Venus, for example, has a mostly CO2 atmosphere (CO2 is completely colourless under any definition of the word) but there's a huge amount of particles floating in the air, giving it a colour. We don't yet have a full understanding of how different mixtures of gases and chemicals produce different colours.
What we do know, however, is that different chemical mixtures on different worlds respond differently to light. Some planets and moons we don't know about because we've not been there and taken a photograph (we've only done that on Venus, Mars and Titan so we know those with confidence) so most of the assumed sky colours are guesswork. Here, mostly for fun, is a rough guide to the colour of the sky in different parts of our solar system based on the chemicals in their atmosphere.
Mercury Hydrogen/Helium Colourless
Venus Carbon Dioxide/Nitrogen/Sulfur Dioxide Orange
Earth Nitrogen/Oxygen/Carbon Dioxide/Argon/Ozone Blue
Mars Carbon Dioxide/Dust Orange/red
Jupiter Hydrogen/Helium/Methane Blue
Saturn Hydrogen/Helium/Methane Blue high up, yellow low down
Titan Nitrogen/Methane Yellow
Uranus Hydrogen/Helium/Ammonia/Methane Turqoise
Neptune Hydrogen/Helium/Ammonia/Methane Blue
Imagine a boat sitting in the water creeping forward at a very slow rate. It will send a ripple of water out in front of it, albeit a slowly moving one. You've got to imagine the boat moving ar around a couple of centimeters per second for this. But if the boat picks up any speed, it crashed into the water in front of it faster than the ripples can escape. It no longer creates a swell of water in front, all the water-wave ends up trailing out behind it in a V shape, what's called the "wake" of the boat. If you watch the boat going past you, the water triangle will follow soon after and splash you. This is an aquatic boom. A sonic boom works the same way except with air instead of water.
As a plane moves through the air, it smashes into air particles and scatters them out in all directions, including in front of it. The speed of sound is, on average, about 333 m/s (varying slightly with temperature and altitude). If the plane is travelling at 100 m/s, then the air particles will go flying away, leaving the plane behind. But let's say the plane is moving at 400 m/s. At this point the plane is bumping into air particles, but also catching up before they escape. The air-build up in front of the nose can't get away.
The air will end up with lots of movement energy (kinetic energy) but it can't move forwards. Instead, the air ends up forming a cone around and behind the plane, trailing behind it like ripples on the lake behind a boat. The plane is moving so fast it drags a vortex of air along with it. When this enormous cone of air hits your eardrums, you hear the sonic boom.
This image demonstrates it beautifull: