An Explanation from Steven Novella
Steven Novella explains this much better than I ever could. The full text of this article is at http://skepticblog.org/2008/11/17/skeptic-the-name-thing-again/.
A skeptic is one who prefers beliefs and conclusions that are reliable and valid to ones that are comforting or convenient, and therefore rigorously and openly applies the methods of science and reason to all empirical claims, especially their own.
A skeptic provisionally proportions acceptance of any claim to valid logic and a fair and thorough assessment of available evidence, and studies the pitfalls of human reason and the mechanisms of deception so as to avoid being deceived by others or themselves.
Skepticism values method over any particular conclusion.

Some useful links relating to scepticism: