Easy to author (at its most basic, just a markdown file), context efficient by default (only preloads yaml front-matter, can lazy load more markdown files as needed), can piggyback on top of existing tooling (for instance, instead of the GitHub MCP, you just make a skill describing how to use the `gh` cli).
Compared to purpose-tuned system prompts they don't require a purpose-specific agent, and they also compose (the agent can load multiple skills that make sense for a given task).
Part of the effectiveness of this, is that AI models are heavy enough, that running a sandbox vm for them on the side is likely irrelevant cost-wise, so now the major chat ui providers all give the model such a sandboxed environment - which means skills can also contain python scripts and/or js scripts - again, much simpler, more straightforward, and flexible than e.g. requiring the target to expose remote MCPs.
Finally, you can use a skill to tell your model how to properly approach using your MCP server - which previously often required either long prompting, or a purpose-specific system prompt, with the cons I've already described.