(I'm definitely going to be ninja'd here)

COMBAT SKILLS:
Archery: How much damage your bow and arrows do.
Smithing: Your ability to create and improve armour and weapons, using ores found in the wilderness. It's not exactly clear what difference it makes to level this skill up yet.
Block: How much damage you prevent by blocking incoming attacks.
Heavy Armour: How much protection heavy armour affords you.
One-handed: How much damage one-handed weapons do.
Two-handed: How much damage two-handed weapons do.

MAGIC SKILLS:
Alteration: Governs the power of your spells that alter the physical world. Examples include shield spells, spells that enable you to carry more weight, spells that unlock doors.
Conjuration: Governs the power of your summoning spells. Examples include summoning bound weapons, armour and creatures.
Destruction: Governs the power of your destructive, attacking spells. These spells are either Fire, Shock (lightning) or Frost (ice).
Enchanting: Your ability to create and improve magical armour, artefacts (rings etc) and weapons. It's not exactly clear what difference it makes to level this skill up yet.
Illusion: Governs the power of your spells that alter the way the world appears. Examples include making yourself invisible, enabling yourself to see in the dark and making others love or fear you.
Restoration: Governs the power of your restorative spells. Examples include healing yourself and curing diseases.

STEALTH SKILLS:
Alchemy: Your ability to create poisons and potions from natural ingredients. It's not exactly clear what difference it makes to level this skill up yet.
Light Armour: How much protection light armour affords you.
Lockpicking: Your skill at unlocking locked doors and chests.
Pickpocket: Your skill at stealing things from unaware people, or slipping undesired objects into their pockets.
Sneak: Your ability to remain undetected.
Speechcraft: Your ability to influence and persuade NPCs to trust or like you.

http://elderscrolls.wikia.com/wiki/Skills