Here's a brief description from this site: http://www.mos.org/sln/toe/skineffect.html
All electric currents generate magnetic fields that in turn can affect the current (this is the principle behind electric guitar pickups). In a direct current case everything is constant and so nothing seems to happen. With an alternating current, however, there is a delay in the magnetic field's response to the change in current and the 'old' magnetic field tends to push the current towards the outside of the conductor. As the frequency increases, so does the effect until at very high frequencies the entire current flows in a very narrow skin on the conductor--hence the name.
The earliest work on explaining the skin effect was done by Lord Kelvin (of temperature fame) in 1887. Tesla also investigated the effect.