The title says all.
Usually a (huge) box that enclose the scene, with the center at the viewpoint. The box’s faces is facing inwards, and textured with the surrounding environment. This makes an excelent static enviromnent, such as clouds and distant mountains/seas. With some tweaking, you can also animate the clouds.
The way I understand a skybox, it’s literally a box that’s rendered separately from the rest of the scene, and then it’s used instead of a background color. The viewpoint in it never changes, so it can actually be fairly small. I think this is how Unreal Tournament and the Half Life Engine handle it, anyway.