Because bluelight bends differently than redlight, when it hits the atmosphere the blue bends more so that the sky appears blue. Basically same thing as in a rainbow, except you only get one color, and its using the entire atmosphere instead of just one water droplet. (yay meteorology)
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Also, if you wanna see something cool, get polarized sunglasses and look up at the sky at like say 30degrees off the horizon. Twist the glasses and you see the sky lose its blue. It's really awesome :P