Is there any difference? Should I really go to the Skyforge to make weapons? I've heard NPCs say that its the best forge, that its hotter. I wonder if it actually makes any difference.

No difference.

The Skyforge is the only thing that can make a special armor after you finish the Companions questline.

for regular weapons and armor there is no difference. However, you can smith weapons and armor there that u can't in other forges. Skyforge weapons after the first quest in companions and nord hero weapons and armor after u finish the faction quest line.

Aren't steel weapons better?

Better compared to what? The skyforge weapons are steel..only its skyforge steel.. So the skyforge steel sword does more damage than a regular steel sword. The nord hero sword does the same damage as a skyforge steel sword.

The nord hero armor has the same protection rating as regular steel armor..only looks different..

Skyforge Steel is better then Glass, but I'm not sure about Ebony or Daedric (sp). The only advantage is Ebony is rare and expensive and so is the hearts.