In addition to Terragen, which is a great free program for generating skybox textures, you can download prepared texture collections specifically for skyboxes. DirectX is happy with both .tga and .jpg file types; I used the latter because they are smaller.
One thing to watch out for is the appearance of seams at the edge of the skybox textures. I didn't have a problem with the original sample, but one I downloaded had some pretty ugly borders. After trying the recommended procedure of setting the texture clamping, which in Managed DirectX is done like this:
device.SamplerState[0].AddressU = TextureAddress.Clamp;
I had no success.so then I tried:
device.SetSamplerState(0, Microsoft.DirectX.Direct3D.SamplerStageStates.AddressU, 3);to overlap the textures. Again that failed.
I then thought of resizing my textures from their original 768x768 to a power of 2 that computers seem to like so much. At 512x512 the seams were completely gone. It doesn't look too much worse, so that's a pretty good outcome. After reading a bit more about textures, I believe that this problem usually only occurs with older cards. As I want my software to be usable by everyone I'll make sure to keep an eye on this in future.