I'd have to say that my favorite feature, by far, was the ship battle system. Who didn't love the flying ships, and the combat system and strategies that it took?
One other feature of Skies that I'd never seen was the music in boss battles. I don't know of any other game where the music actually changes depending on how well you're doing (ie if you're losing, it plays that really dissonant, tense music, but if you're winning, it's upbeat and hopeful sounding) in the fight. It has no effect on the mechanic whatsoever, but it's kind of a cool way that the game itself "talks" to you through the music.