1. They're really cool and clever. This is a valid reason.
2. They offer easier concurrency than most alternatives. It's straightforward (though not quite easy, unless you have transactional memory) to make a lock-free concurrent skip list. Try that with a heap or a red-black tree, and you'll quickly run into all sorts of memory conflicts and crazy-complicated locking. The fact that a skip list only provides probabilistic logarithmic time bounds really makes coordination between threads easier.
(Note that it's possible to do some similar stuff with modified versions of other data structures. For example, you can make a good concurrent dictionary by taking a red-black tree, relaxing the invariants, and adding a periodic rebalancing thread to run in the background. But that's a topic too long to fit into this post.)
... if a man held a gun to my head and forced me
to implement a logarithmic time algorithm I could
implement skip lists in an hour or so ...