I know some of them are just there for show (certain biomes will have bosses flying around in the background for example, purely aesthetical). Other ones indicate an event, such as a large meteor falling in the background when a meteor is about to spawn (the background still shows up even if a meteor can't generate). Another one you'll see is slimes floating by, hanging from balloons, to indicate that it's a windy day event (not sure if that sky ship is a part of it or if it's just a generic one for the forest). Answer from Mince_rafter on reddit.com