Physics answer: For the same reason liquid air is blue i.e. absorption spectra of nitrogen and oxygen.
For sunsets, also check out:
"Colour," Microsoft(R) Encarta(R) 96 Encyclopedia. (c) 1993-1995 Microsoft Corporation. All rights reserved. (c) Funk & Wagnalls Corporation. All rights reserved.
http://www.askjeeves.com/main/FinalAnswer.asp?qCategory=SCI%5F&Link=http%3A%2F%2Fmath%2Eucr%2Eedu%2Fhome%2Fbaez%2Fphysics%2Fblue%5Fsky%2Ehtml&Title=Why+is+the+Sky+Blue%3F&Answers=5&ajparam_fillers=&ajparam_qid=5477&site_name=Jeeves&scope=web&ask=Why+is+the+sky+blue%3F&origin=0&metasearch=yes
http://www.newscientist.com/lastword/answers/lwa65nature.html

Poetic answer: Because the Earth is so beautiful!