The test pilots here at Cyclespeed have tried many different skewers in the light weight category.  We found a few problems along the way...  Some of the carbon handled skewers splintered and some of the alloy products bent.  Aside from your brakes, skewers really need to work everytime. 

Our standout favourites are titanium skewers made by either USE or Bold Precision.  Both perform well and there is about 2 grams difference in weight so it really comes down to which style you prefer.
   
Prices are in Australian Dollars.