If you ask me "HOW is the sky blue?"...and my response is; "because particulate matter in the upper atmosphere filters out all the color spectrum of light but blue".
Rocket, sorry to nitpick, but I need to correct this statement. The sky is blue because the gasses of the atmosphere resonate at a frequency close to that of blue light (If I remember correctly, its actually violet, but the human eyes don't process that wavelenght as well as blue.). Light from the sun is white light, with the full visable spectrum present. As the light passess throught, the light that is blue and violet is abosrbed by the atoms since it is close the the resonant energy levels of the molecules, and reemited at teh same frequency in different directions. This effect is called scattering. It is essentially why you can see a bright blue sky in all directions. The remaining visable light, consisting of red and green light (and other colors in that range , but essentially, we see those two color spectra combine to give the sun an appearnce of yellow after traveling through the atmosphere.
Meanwhile, mars has virtually no atmosphere, so its sky, as viewed from the surface, would be nearly black. There may be some minor scattering, but it would most likely be minimal. I imagine that the atmosphere would probably give a weak violet scattering at best, since there is hardly any atmosphere for the light to travel through.