I believe you can retrieve a skeleton key during the quest line of the thieves guild.
You can, but I'd just give it back to Nocturnal anyway. If you are good enough at the lockpicking mini-game, then there is no point to the Skeleton Key.
Personally, I just gave it back so that I could finish the quest line. I don't even put Perks into Lockpicking because I have the mini-game down so well. At a base level of 15-20 I am picking Expert and Master locks anyways, so why do you need the Skeleton Key? It's pointless to keep in Skyrim IMHO.
