I've never installed them new, but have reworked a couple of leaking ones. Everybody I've talked to (including a conversation up on a roof just this past Saturday) says that there are two kinds of skylights: those with leaking and condensation problems, and those that haven't been installed yet.
Seriously, I believe any excess penetrations or anomalies in a roof just greatly increase the chances of a problem you'll later have to deal with. My house for example, I designed it to be simple. No returns, no dormers, valleys, nothing...only one penetration for the whole house, a sewer vent. Less chance for trouble, and cheap to re-roof in the future.
Disclaimer, I'm just a computer guy that likes to work, not a contractor.