Favorite IWAD skies:
Doom: Episode 1/Knee Deep in the Dead. I like the cloudy, kind of misty atmopshere it gives off, as improbable as it is for Phobos to look like that. Shout-outs to Xaser for pointing out how SKY4 works perfectly as a cheese texture for a hamburger, though.
Doom 2: Episode 2/The City. Hell doesn't really do it for me, and I don't much care for the brown sky after seeing it in a bajillion PWADs that don't replace the skies, so by process of elimination, this is the one I like.
TNT: I actually don't remember enough of TNT to say. Was this the one with the epic space sky, though, or was that Plutonia? That one was pretty awesome.
Plutonia: Episode 1's, definitely. It's surprisingly rare to see a blue, sunny (well, partly-sunny, in terms of the weather) sky in a Doom WAD, so this one stands out pretty nicely.
Heretic: Either Episode 1's, for the overcast atmosphere, or Episode 3's, for successfully selling the whole "you're in an domed underwater palace-of-sorts" motif. Pretty nifty stuff.
Favorite PWAD skies:
Not too many immediately come to mind, but I recall especially liking Speed of Doom's Ep. 1 green sky, as well as Perdition's Gate's Ep. 1 lush green hill side on an overcast day - that latter one gives me a weird nostalgic feeling that I'm particularly a fan of. Also a fan of Community Chest 4's space sky (wound up making a map inspired by it for the 5 Rooms project), and a lot of the skies in the 32in24 CTF texture set (quite a lot of variety there; sunny days, overcast days, snowy mountains, sunsets, alien skies, the lot).