If you get sick days at work, you use one but they don't pay you - is that legal? What recourse if any?

Yes, it was brought to the boss' attention and they still won't pay.
Answers:
Department of Labor and Wages should be able to help with this problem. Call them and have any documentation ready for verification.

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almost every major company should have a Human Resource Office... talk to them... they are there to help u in situations like this...

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If they OFFER sick days, then they need to pay you (up to your limit).
No law that I'm aware of says that they have to offer it as a benefit, but if they DO offer it, then they need to follow through with it, assuming your sick day was valid.

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Did you call in to say you wouldn't be there that day. ?

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Each company is different. It could have been an error that you were not paid. Talk to Human Resources. Or, if you were in a "probationary period" of your employment, you may have been accruing benefits, but not eligible to take a sick day. For example, at my place of business, the first 90 days of employment are considered the probationary period. You accrue 1/2 sick day per month. If you call in sick before the first 90 days, you are docked for the day. But if you call in on the 91st day, you are paid.
If you didn't follow company procedures when you called in sick, you may not be paid. For example, if you were to call in by 8:00 to say you were not coming to work due to an illness, and you were to bring a doctors note, and you failed to do one of those, you will not be paid.
If it was your bosses error, you would be eligible for retro-pay.