The air is made out of gases. The major ones are nitrogen and oxygen. The gas particles or bits themselves are actually very small. Imagine all the world's people were a molecule of oxygen. Twice of ever molecule would fit in a water droplet. That's very hard to imagine isn't it?

Normally, they're transparent. Now why, you ask, isn't the air blue? Think of it this way. When you put a grain of sugar in a cup of water, it got sweetyer because you put sugar in. But you don't notice anything because it is too small an amount. The same goes with ait. when you have a whole lot of it (like tens of kilometers of it) you can see that it is blue.

Similar question: Why can you only see the stars at night?

When the sun shines on the oxygen molecules, they react and go a bit bluish and go opaque a bit. Because the sun is near us, the sun's light can make it though the weak light "sheild" of the oxygen. But since the stars are far away and their light is weak, we can't see their light at daytime.