skip lists are sorted lists, and efficient to modify with log(n) performance. in that regard it's like TreeSet. however there is no ConcurrentTreeSet. what I heard is that skip list is very easy to implement, that's probably why.
Anyway, when you need a concurrent, sorted and efficient set, you can use ConcurrentSkipListSet
These are useful when you need a set that can safely be accessed by multiple threads simultaneously. It also provides decent performance by being weakly consistent -- inserts can be made safely while you're iterating through the Set, but there's no guarantee that your Iterator will see that insert.
ConcurrentSkipListSet and ConcurrentSkipListMap are useful when you need a sorted container that will be accessed by multiple threads. These are essentially the equivalents of TreeMap and TreeSet for concurrent code.
The implementation for JDK 6 is based on High Performance Dynamic Lock-Free Hash Tables and List-Based Sets by Maged Michael at IBM, which shows that you can implement a lot of operations on skip lists atomically using compare and swap (CAS) operations. These are lock-free, so you don't have to worry about the overhead of synchronized (for most operations) when you use these classes.
There's currently no Red-Black tree based concurrent Map/Set implementation in Java. I looked through the literature a bit and found a couplepapers that showed concurrent RB trees outperforming skip lists, but a lot of these tests were done with transactional memory, which isn't supported in hardware on any major architectures at the moment.
I'm assuming the JDK guys went with a skip list here because the implementation was well-known and because making it lock-free was simple and portable (using CAS). If anyone cares to clarify, please do. I'm curious.
ConcurrentSkipListMap was a fantastic find when I needed to implement a replication layer for a home-grown cache. The Map aspects implemented the cache, and the underlying List aspects let me keep track of the order in which objects appeared in the cache. The "skip" aspect of that list made it efficient to remove an object from one spot in the list and bump it to the end when it was replaced in the cache.