I'm sure there are others out there like me who are annoyed by the fact that there's no VS intellisense in .skin files. There is, however, a workaround to turn it on. Per an answer on StackTrace:

Try this: Tools -> Options -> Text editor -> File extensions. Now type skin in the extension textbox and select User Control Editor from the dropdownlist. Click Add.

Close and reopen your .skin files and - kablam! - you now have intellisense. Be aware that it's going to complain about .skin files not having their own build provider defined in the web.config. Still better than nothing, though.

Beware, however, that if you do turn this on then any time you copy and paste a line into a .skin file it will automatically add the ID property to that line. Since IDs are not allowed in .skin entries it will cause your site to break (and the build if you check it in). However, this little annoyance is well worth it if you work a lot with skin files.