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The Sky Spirits are deities that King Julien worships. They have not appeared in any episodes (yet), but they have been mentioned in numerous ones. Some powers that Julien believed they possess include rain, making the sun shine again, and raining food/random objects (usually something "magic", if not valueble/important). Though usually done through prayer, the lemurs have many ways of staying in touch with the Sky Spirits, mostly by keeping track of the weather (Julien claims most of the messages are for him, because he is royalty), even though in Eclipsed, it was revealed that none of the lemurs understand there unearthly language directly (must be one of the silent languages, as it was far to easy for Mason to convince them that Phil, his mute partner, "translates" the spirit worlds native tonge while "conversing" with the Sky Spirits). It is later revealed that, due to the unlimited size of the heavens, there are several tribes of Sky Spirits, and the New York tribe is a bunch of "fickle pickles" and have a special rhyme for the Gimmie-Gimmie Star (apparently, a rare wishing star that appears on random nights... too quite to be a helicopter).
Though they haven't made any personal appearances, they expressed a sort of anger/annoyance at Clemson in Right Hand Man, as they sent a lightning flash right on que after he annonced his evil plan. He was less aware of the Madagascar fables then the local lemurs, however, and was confused to how that happened when it didn't look like rain.