Skybox wraps your scene with a large globe that gives you a universal background. All of the examples you have shown are nice skyboxes. If you create the art to hide the fact that it’s a sphere, it will look like deep space.
Use a tool like this: http://www.diardsoftware.com/ to create your space art. Then get a Skybox template. There are several skybox textures included in Unity’s Standard Assetts: Assetts → Import Package → Skyboxes
Piece the Skyboxes together in Photoshop to create a Skybox Template. This is fairly easy to do as the individual Skybox images are labeled. ( For instance: DawnDusk_back, DawnDusk_down, etc.)
Once you have your uber skybox image, bring in your space art and superimpose it on new layers over the big skybox image. When you’re done, export them and assign them similar names. Now, in Unity, create a new Skybox material and assign the textures to the correct spot in the material.
For more advanced help, see this answer: http://answers.unity3d.com/questions/7881/How-does-one-Create-the-textures-for-a-skybox.html