Before we learn why the sky is blue we need to know what sunlight actually is. The light from the sun is made up of particles, called photons. These photons travel in electromagnetic waves from the sun to the earth. There is a wide spectrum of electromagnetic waves that are emitted from the sun, but only a minute portion of this spectrum is visible to the human eye,  this portion is known as the visible light spectrum.

 http://www.phys.virginia.edu/Education/outreach/8thgradesol/ElectromagSpect.htm

The color of light that we see is determined by a photon's wave length. A photon that moves with a larger wavelength is seen as a "red photon" while a photon that moves with a smaller wavelength is seen as a "blue photon".  The figure below demonstrates the different size wavelengths for the different colors.

You can remember the different colors that are displayed in the visible light spectrum by using the acronym, "ROY G BIV". Which stands for red, orange, yellow, green, blue, indigo and violet. 

When we observe the light from the sun we do not see red, green, blue, and violet rays of light, we see sunlight as white rays of light. These white rays of light are actually made up of all the wavelengths of color combined.

photograph by http://hyperphysics.phy-astr.gsu.edu/hbase/atmos/blusky.html

We can demonstrate this by shining sunlight through a prism. When we do so the white sun light is broken up into the entire visible spectrum of light.

http://spaceplace.jpl.nasa.gov/misrsky/misr-sky.htm

It is this effect that cause us to see a rainbow as well. After a rainstorm, the droplets of rain that are suspened in the air act as prisms and when the sunlight hits the droplets at the correct angle a rainbow occurs!

http://imagers.gsfc.nasa.gov/ems/visible.html