We wear a kippah as a sign of respect and to remind us that G-d is watching over us.
The kippah has some powerful references in Talmudic literature, where it is associated with a sincere reverence for G-d.
In Kiddushin 31a - R. Honah Ben Joshua declares that he "never walked four cubits with his head uncovered . . . Because the Divine Presence is always over my head." Berachot 60b, it is written, "When he spreads a cloth upon his head he should say: Blessed are you (G-d) . . . Who crowns Israel with splendor."