This is the solution:
Naked, I make blue clothing that I never wear
Direct sun light is bleaching clothes
Clothed, I am cold and shy
Clothed or covered by clouds, the warmth of the sun is not reaching us. It is also shy, because we can't see it.
People sell in shops what I give for free
People travel far to receive my gifts.
Holiday in the sun
People travel far to avoid my gifts.
Escaping the heating sun
Many love me and many shun me.
The sun is loved by many and hated by others.
No one truly visits me
No man has been on the sun
But I am not lonely
Many suns (other stars)