As current passes through a wire, it sets up a circulating magnetic field around the wire. This is often explained in books with a current-bearing piece of wire passing by a compass.
Michael Faraday noticed that sudden changes in the current passing through a wire would cause induce voltage in nearby wires.
If you perform the following thought experiment, it gives an intuitive example of what happens:
Imagine the wire to be separated into an inner wire and a surrounding tube, or pipe. Now, suppose you apply a high frequency current to the outer portion, the pipe. The surrounding magnetic field will induce a voltage across the inner conductor. Now, if you connect the inside wire to the outside pipe at the two ends, the inner conductor will not carry as much current as you would think. Why? Because the outer conducter has created a voltage drop across the inner conductor that is in opposition to the applied voltage. Thus the inner conductor still carries current, but not as much as you might guess.
Now, connect the outer pipe to the inner conductor along the length, and you find the same thing is going on. Voltage induced inside by the surrounding field causes it to oppose flow, thus the current density is higher on the outside.
Now, if you use thinner wire, the effect is decreased, as far as the resistance, but if you simply bundle a group of thinner wires, the ones on the inside will again experience the effect.
This brings up litz wire, which uses tiny, individually insulated, conductors that weave in and out. Thus, each conductor spends about the same amount of time on the outside and inside as all the other conductors. The opposing voltage does not cause the current to favor one wire over another, and the overall resistance approaches what you would expect without the skin effect.
Alternately, when dealing with transformers or inductors, multiple parallel windings will frequently be adequate. Sometimes designers choose to use foil, but for the most part it is overkill.