Honestly, I'm almost always the DM so by the time I get to play I usually have a bunch of characters I want to play. Which is convenient, because then I can just pick whichever one of those characters would best fill any blanks without feeling like I'm just playing a character because I have to.
Honestly, that's entirely up to your narrative and your DM style. For myself, I've always liked skill challenges because they give my players a clear goal to work towards. Now I have to point out again that, like I said above, I've never been one to say "Hey guys we're having a skill challenge...
I use skill challenges in my campaigns pretty regularly, but I make a point of not announcing them. Not announcing the skill challenge lets it flow more naturally - and in my experience also ramps up the tension. Saying "Okay guys, we're having a skill challenge. You need 4 successes before 3...