I think I disagree with the Skype advice here! AFIK the facilities on Three UK are for making free Skype calls between Skype usernames. i.e. If you have a Three SIM in a compatible phone, and have a Skype username setup, you can call other Skype users worldwide for free. Also these calls are not routed via UMTS data or IP (like Skype calls normally would be) but instead via an invisible voice gateway. Three foots the bill for the call made to the special Skype gateway. Basically, the first part of the call is routed via the standard voice network rather than the data network.
As far as I know, on the incoming end, having a SkypeIn number (from US or anywhere) will not allow you to receive calls via the gateway. Simply put, this would take an astronomical dent out of Three's termination revenue on the incoming calls to their numbering range! This is just disabled and is stated somewhere in Three's Ts and Cs. (which I cannot find right now). There are some ways around this though, which you could investigate! A quick Google search shows:
SkypeIN / SkypeOUT workaround for 3 SkypePhone | UK Gadgeteer Website
I suppose you could in theory receive calls via UMTS data when you are in coverage and logged in etc. like you would on a PC but the quality is unreliable, and this costs you the data transfer. I do use such a system partially (not Skype though), for receiving calls made to my UK landline number on my Spanish mobile. I use SIP instead, and I have a transfer fallback when my signal is not good enough to support SIP transfer via UMTS or WiFI.