I'm currently trying to do this in my own level. I'll give some tips where possible, but I haven't yet gotten this working through blender2crystal.
I notice 60 people have read this.
Making a good skybox is key to making realistic looking levels.
So far we have one option which is to use Valve Hammer editor.
This is a bit limiting though, what about people using Blender?
How do you get it lit properly?
Add a light in the skybox sector... of course, this depends on what you mean by "properly"
How do you get it so it appears always the same distance?
Basically, the meshes in the sector (or the sector itself? I can't remember offhand...) need the <camera /> tag in them. I don't know how to do this using blender2crystal yet. (which is the source of my problems with it)
How can you make it look high res?
Use high-res textures?
What exactly do you mean by this?
What parameters and commands are needed to do this using the blender2crystal exporter exactly?
Not sure, yet.
How can we add the type of moving clouds and stuff like in the terraininf example?
Looking at that map in walktest, I'm pretty sure that the "moving clouds" are just a rotating translucent sphere with a cloud texture on it... that's not hard to do in blender.
If you want something that looks a bit more like the skies in Unreal, you probably want an animated (procedural) texture and/or simple UV animation on a translucent cloud texture.
Would there be any way of getting animated water relfections and the like?
Using shaders, I'm pretty sure this can be done. I think Xotic said he was going to be working on this soon... you may want to ask him in #crystalspace.