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Light having a shorter wavelength (blue light) is more readily scattered by the atmosphere. This is why the sky looks blue...
The bluish part of the spectrum from the Sun tends to reach us indirectly from the whole sky and the rest, which reaches us directly tends to be yellowish if we look directly at the Sun (although our senses may "saturate" and perceive the Sun as white nevertheless).
This separation of sunlight into a direct and indirect part means that shadows will have a blue hue because they are lit only by the sky and not directly by the Sun... Beginning in the 19th century, artists started painting shadows with a touch of blue, (sometimes exaggerating the effect, which is actually barely noticeable).
When the Sun is low on the horizon, its rays travel a longer distance through the atmosphere and the effect becomes more pronounced (even more so if there's moisture in the air). This is when the Sun may start to look really yellow, or orange, or red... Enjoy the Sunset !
FOOTNOTE:
Don't let me get started on the reasons why, under the right conditions, the last rays of the Sun may look green (or white) for a fraction of a second before it disappears under the horizon. This is called the "green flash" and it's really amazing the first time you see it. You have to look for the effect when the Sun sets over the Ocean in calm weather through some thin distant haze... Pay attention when the edge of the disk is about to disappear and don't blink at the wrong time !