Neither is better than the other in terms of lens protection. They are equally effective. Both will also reduce the effects of UV radiation on film. The differences between them have to do with color cast. Skylight filters have a slight magenta tint that I personally don't like to see in my transparencies. Others like it. If you use color negative or B&W film, or if you use a digital camera, you will see no difference at all between a UV(0) and a Skylight filter.

Thank you for the tip Reged. I appreciate the info very much. I didn't realize a Skylight filter would give a slight magenta tint, so will keep that in mind when I pruchase the filter. Besides a UV or Skylight filter, are there any other filters to have for general use? Again, thanks for the help.

For both film and digital a polarizer is a good one to own. That's one filter effect that digital cannot master or offer in software.

I don't see filters as protecting lenses, but degrading them. The more glass and air space you add to a lens the more you loose contrast and gain flare.
The best protection for a lens is a lenscap.

That said, I use UV filters, but only for their real purpose, to filter out UV from the light at the beach.
If you buy filters, then go at least with multicoated ones from B&W, Hoya, Zeiss, ...

I'm using UV filter for all of my lenses.