Terragen is certainly used in the film industry and not just for skies. Take a look at Planetsides website for a stack of examples. Often however it is hard to see the Terragen elements in any given shot simply because they are layered together with so many other elements. Terragen then becomes an integral part of the compositing process. I know MPC used Terragen (I worked there over the Summer in Quebec) on Mountain Between Us and Murder on the Orient Express and I believe it was also used in the latest Pirates of the Caribbean.
Terragen comes into its element in the compositing process so therefore if the department using it is not that skilled at compositing then they may find it challenging.
The Render Layers node allows the output of 27 layers of image raster imagery from surface RGB, cloud RGB, Atmo Alpha, Depth and surface normal. this allows an enormous level of control over the final image and blending other externally created elements. Terragen can also export sections of terrain allowing accurate placement of objects rendered in other packages.
EDIT: just saw you were also interested in Game Dev. I think (again my experience only) Terragen is used much more "out of the box" for making environment cubes/spheres. I have been involved in two projects where we used "sky cubes" one for Serious Sam and one for Leap Motion. Both used the environments pretty much as they were created without any modification.
Hope this helps
ps I should say this is my experience, other peoples millage may vary
