I do not know if this will help, but else, feel free to ask questions. I will try to post another later on, when I have time to type it out.
Please note that we do not play in English, so this is just a rough translation from something that happened 6 months ago. It was our (my) first skill challenge.
The place is Keep of the Shadows, after Kalarel has been killed. The players are looking at the portal to the Shadowfell and have just decided that it would be a good idea to try to close it. Unfortunately, the guy playing wizard is sick that day

The cleric is trained in arcana, the fighter in religion.
Cleric: Is it possible to close the portal?
DM: (after the cleric has rolled an arcana check) Sure, but from your experience with manipulating magical energy, you would guess that there could be a risk.
Warlock: Isn't there always. I say that you try. Can I help you?
Cleric: Sure. We found those notes earlier, up in the study. Maybe you can find something in them that can help me.
Fighter: Hey, what am I? small potatoes?
Cleric: You are well versed in matters dealing with portals?
Fighter: Well my basic training at the church of Kord has taught me some things about religion, ceremonies and divine effects. Maybe it's a divine portal?
(Everyone looks at the rogue)
Rogue: I will just to guard to make sure no one comes by and ambush you guys
(I gave them a win for the rogue keeping guard. Not worrying helps you focus)
Cleric: Okay, let's close this portal. (looks at the DM)
DM: Roll an arcana check and an insight check (Cleric rolls two wins). Okay, as you focus your mind in on the arcane energies, you clearly see what needs to be done (Arcana or Religion skill check). You also understand that the work will most likely put quite a bit of strain upon you and whoever is nearby, helping with the manipulation (Endurance skill check).
Cleric: Okay, I continue (cleric rolls another arcana check for another win)
DM: So far, so good. You start manipulating the magical energies, trying to unbind them so that the portal will become inert. They are however, threatening to run wild, if you do not contain the magic. (DM points at the fighter and cleric) Roll an endurance check!
(Cleric rolls a win, fighter rolls a miss - score is at this point 5-1)
DM: While you haven't lost control of the magic yet, it's quickly slipping through your fingers, or rather, the fighter. If you abort now, maybe this thing will not blow up in your face. On the other hand, it might not be closable anymore.
Cleric: I keep going, trying to close the portal
Warlock: I try to help him, using the notes from Kalarel's study.
Fighter: Can I also try to manipulate the energy of the portal?
DM: Sure (smiles)
(Warlock aids the cleric, makes the roll, giving the cleric a +2 modifier. Cleric rolls a win, Fighter rolls a win. The score is now 7-1. They need 9 wins before 3 loses in order to close the portal)
DM: You are almost done. However, you are not out of the woods yet. While you at this instance have control of the flow, things could still turn ugly if you aren't careful
Cleric: I keep going
Fighter: Me too
Warlock: Me three!
DM: Roll an endurance check, both of you
(cleric rolls a 2, failing, fighter rolls a 1 - a fail also)
DM: Just as you almost close the portal, something goes wrong, and both of you fail to control the energy between your hands.
(DM rolls some dices)
DM: A sudden blast of magical energies propel you several feet away, and you feel as your whole body has been ripped apart. Everyone within 10 squares take 39 damage.
As you can gather, the skill challenge was a failure. The damage was not the penalty, merely a side effect. The real penalty was that the portal didn't close, so that something could (and would) come through. In fact, a big part of the paragon campaign will be to combat what came through the portal, once they have found out what it is.
Not everyone was greatly involved, but to me, that is not necessary. Sometimes, sure, but not always. For me, the biggest advantage of skill challenges are the fact that important events can be solved by something more than 1 die roll.