Do you want to use your own sky sphere model made in 3D modeling software (e.g. Blender, Maya)? In that case, the SkyMesh shader in this repository will be useful and efficient.
In many cases, you should use Skybox instead, because SkyMesh is not suitable for GI. Unity can import several types of textures as Cubemaps. Even if you don't want to use Cubemaps, you'd better write your custom Skybox shader if the mapping between view direction and color (or texture coordinates) is simple enough.
You can also use builtin meshes. Create a material and select "Custom/SkyMesh" as the shader.
Unity's skybox is rendered as a sphere of infinite radius when camera mode is perspective. This means sky appearance doesn't depend on translation of camera, but depends only on rotation and field of view of it. If you prefer this behaviour, uncheck Finite Radius checkbox of your material.
If your camera mode is orthographic or you prefer camera-translation-dependent sky, check Finite Radius checkbox.
In both cases, the sky mesh doesn't need to be within the view volume (read below).
Attatch SkyMesh script to your main camera, and fill all the properties. "Camera Event" is recommended to be "After Image Effects Opaque" for efficiency.
Create GameObject, and attach MeshFilter with your mesh and MeshRenderer with the SkyMesh material. In order to avoid frustum culling, you have to scale the object or Mesh.bounds.
Sky meshes will be rendered even if the actual meshes are outside camera view volumes. The mesh is rendered as if it is stuck on the far plane of the volume. It doesn't cosume your depth buffer bits.
The rendering order is as efficient as builtin Skybox. The areas hidden by opaque objects are culled by depth test.
