better to use?....either, it`s just personal taste
just make your box or sphere, texture it with the sky/space texture, and then either turn it inside out by making the size negative, or change object cull so that you can see polygons that face away from you.
you can now admire the obvious joins at the edges of the box
(if you use the skybox), to get rid of those you just set it so that it does not respond to light (set object light num,0 kills the shading that makes the plains that make the box up visible), turn up the antialias (cos your small sky texture will look ugly spread all over the world) and enjoy a more realistic image (you can do the same to make skyspheres look better too), you could also add a smaller sphere inside the box, ghosted and transparent, with a cloud texture drawn on it, and revolve the sphere to make the clouds move.
Mentor.
System spec : Pentium 3.0Ghz, 512MB DDR, 2x160Gb HD`s, DVD RW/CD RW (all modes), multimedia front panel, 6 way surround sound, ATI radeon 9800 128mb.