Skills are voice-driven Alexa capabilities. You can view available skills and enable or disable certain skills from your Alexa App, and start using enabled skills by saying specific phrase(s), called invocation names, after you activate Alexa. Much like your phone has an "app", your Amazon devices (Echo, Echo Dot, Echo Tap, Echo Show, etc) have skills. Users interact with their Alexa enabled device via skills.
Skills can be "default" - meaning they come pre-enabled on your Alexa device, or they can be "custom". Custom skills are searchable in the Alexa Skills Store and offer a more robust feature set.