Mars has a CO2 atmosphere, which is not orange but a reddish-brown similar to its surface. CO2 is fairly nonreactive, so there aren't a lot of questions about "what would X material do". The biggest difference is that things wouldn't burn, and metal wouldn't rust.
But it's not exactly orange, and nonreactivity is BOOO-RING. If you want something that's really orange, I would go for bromine. It exists as a liquid under normal conditions, but easily evaporates like water, so an atmosphere of it is reasonable. It is also very nasty stuff. It is a halogen in the same family as chlorine and fluorine, which means it reacts violently with most metals. It also tends to attack organic materials by replacing the hydrogen. These properties would make for an interesting space suit design challenge. One other thing to consider is that bromine gas is not transparent, so at the bottom of an atmosphere it could get very dark.
As for sunrise and set, they are ruled by Rayleigh Scattering, the same process that makes the sky blue, and that would still be true with either CO2 or bromine. I would expect even deeper reds and oranges in either case, and no blues because blue light would be absorbed. You would need large molecules similar in size to visible light (400-750 nanometers) to get a different type of scattering, while most gas molecules are a few tenths of a nanometer.