Can you provide a bit more information?
When does it skip? while performing other tasks? on certain songs? when changing tracks?
If you use a sound server, make sure that's running in realtime priority as well - might help.
to see if your hard drives are properly configured to use a decent DMA transfer mode. I found XMMS very skippy when I was doing any other I/O, and it was because I was stuck in PIO mode, doing a max of 3MB/s transfer.