Hmm, the vikings believed in Yggdrasil, the world tree, and then the gods lived higher in the trees than regular humans do and so arguably, you could say they also came from the sky. To get there, you could walk on this rainbow bridge.
The greek thought many of their gods lived on mount Olympus which arguably is also in the sky. Or at least it's upwards! Not all the gods could have lived there, though. Hades would've been in Hades (of course) and I always thought Poseidon (god of the sea) would be in the sea somewhere.
There are also animistic religions in which they revere some kind of force which is in nature, for example in animals, trees or rocks. It's popular now with hippies and the like, but I don't know, perhaps some indian tribes have believed something like that although I know at least some of them have also believed in totem spirits and I've no idea where they would be.
I guess the more gods you have, the more likely they are to be elsewhere than just in the sky
I'm sure noise has some better examples though!