Skill challenges don't really require more prep than any other form of non-combat, non-trap interaction for the PCs. You need to be able to make the environment around them react to their choices - and they can make a ton of different choices.
Yes, if you want the Skill Challenge to be on rails you're going to need an exhaustive list of what works, how well, and at what DCs - as well as what won't work and what the consequences are. Then you have to herd your players into a specific sandbox and keep them there until the challenge is complete.
I prefer having a half-dozen sample skill checks, a note of the one or two things that categorically fail, and otherwise have a good awareness of the environment the PCs are in. If they'd rather try to intimidate the maid servants of the princess (which I previously didn't introduce, but "Every princess has servants, DM!" is a compelling argument indeed) instead of using Insight, they'll still find out that she's pining away for a dashing young gambler she can never marry - and thus advance the challenge.
Skill Challenges need either a lot of scripting or good skill with improvisation. I try to use a moderate amount of both so I don't bury myself in prep or run afoul of a creative block trying too much improv.
- Marty Lund