Minecraft wiki entry for Thunderstorm_survival, associated text: The skeletons have enchanted armor and weapons, each with an 8.5% chance of being dropped.
If you kill the skeleton, the horse becomes yours, which is handy if you are in a biome that does not have normal horses. It is also the fastest type of horse you can get without breeding.
Skeleton horses sink in water and do not force you to dismount in water, allowing you to travel on the ocean floor with a Potion of Water Breathing.