It's my understanding, when you go to jail some of your skill decrease a point or two. In the quest, I have to go to jail...Can I expect to lose or decrease in some of my skills?? I may not want to do this quest, Thanks

Yes... one of the loading screen tips say that your security might increase after a night in the slammer, but I've never had this happen. As to which skills and how much, it seems quite random. The only difference that I have seen, is that of your character's level. In my experience, the higher level you are, the more you stand to lose in terms of skill points. However, you can get them back by training again and using those skills, which I would assume that you do on a regular basis anyway.

You get one lockpick with you right?
Think about it..

If you have enough money, you can break out, get an increase in bounty (100 extra gold, I think), run into the barracks, talk to a guard and pay the fine. That way you don't risk losing any skills.

You only have one pick, make it count!

Note: The jailor and any other guard present in the prison will not accept any yields, so you have to go the barracks.

If you don't mind killing someone, the guard may walk past occaisionly, you can use an Absorb health spell to kill him.

You can go down in the cells and drop a bundle of lockpicks at the door Drop an invisibility potions or two for easier escape.

yeah u can actually drop a lot of things by the celar door, right in front of guards and they will not see them stolen goods...

The points lost depend on the bounty - so with 1000 bounty you'd lose 10 points. For this quest you'd want the minimum to get you jailed. I believe you also get the chance to pickpocket the cell key when the guard talks to Jorundr, so you may get out without losing any.

As part of the quest reward you get skill books to compensate.

(though not necessarily in the skill(s) you lost points in)

It′s not that big of an issue, it happened to me. Mysticism went down but all I had to do was to cast the same spell over and over for a while

Do you lose quest items when you go to jail?

No, but a glitch can happen with certain quest essential articles of clothing (boots of springheel jack for example). If you go to jail while wearing them, they will be forcibly removed and the enchantment will become permanent, making you unable to equip them again or remove them from your inventory unless you are on the PC and have access to console commands.

I really wouldn't worry about it. It's only one skill and you only lose a single point. It's really not a big deal. Mind you, if you're in the habit of getting yourself arrested then it could add up I suppose. So the key is to not get caught. Just for that quest though, the rewards more than make up for the loss of a single skill point. You'll probably even end up with a couple of skill books in the loot, I usually do, so overall you'd be ahead.