Skill challenges carry the narrative of the story forward in a manner that includes the players in the telling. Through participation in skill challenges players can work with the DM to craft the story. While the DM holds the power of the overall direction of the story by creating the challenge, players control the tiny details by how they react to the situation and what skills they use to overcome the obstacles presented. It’s a great collaborative system that ends up being a win-win.
Of course skill challenges have a drawback. Players often pigeonhole themselves into decisions based on what skills are presented on their character sheet. Worse, many players only fully consider those skills that they are trained in. All this leads to some very boring skill challenges where players decide what skill to use to complete the challenge, rather than deciding on an action that creates role playing opportunities.