The primary purpose of a skylight is to provide additional natural daylighting, so it will save energy that would normally be used for electric lighting. Unfortunately, since skylights are actually a window mounted unit in a roof, they will lose energy from heat loss and heat gain. Windows are MUCH worse for losing heat than a typical insulated attic. For most winter seasons it will be a big energy loser. In a summer season, with air conditioning (cooling) requirements, it will also be a heat gainer at the time when least needed. Skylights are often a source of water leakage in a roof as well. In summary, it's wise to avoid them. ENERGY STAR® has more information about skylights.
