Skylights will not only bring more light to a room than windows will, but will also save you money on your lighting bill. The reason that Skylights are more effective at lighting rooms than windows are is because windows have natural dark spots behind them (namely the shade cast by the room itself); this makes windows act more like mirrors. To prove this, hold a plain piece of translucent glass up to a dark sheet of paper and look through the glass. You will notice that the glass is far more reflective and you can see yourself in it. Windows create this affect within a room and as a result will bounce back (reflect) a lot more light than skylights. Skylights have been made from many substances over the years, but currently the most popular is called the Lambertian Diffuser. This is clear acrylic that allows light to pass through easily and will only reflect a little bit.
The reason that translucent acrylic Skylights (or diffusers) are so popular is because of the very nature of light. Light is a particle wave, and the Lambertian diffuser acrylic is designed to compensate for this. Light bends like a wave and bounces like a particle. There was the famous gold leaf experiment that proved that light is a particle, so it will bounce. There are also experiments you can do with diamonds by passing light though them. The light splits into different colours; this is due to the light wave and the prism effect.
Light also bends; this can be seen when you put your finger in a fish tank and then look at it from the side. From your perspective it looks like the tip of your finger is not connected to the rest. This is because the light hitting the top of your hand is not being bent, but the light in the water is. So given the fact that light is a particle and a wave, your skylight must accommodate both to competently diffuse light into the room.
Glass will not diffuse light evenly into a room. The clear acrylic is made to be as even as possible throughout its entire pane; this means that there is less cause to bend the light, so it will diffuse light into the room better than glass. Skylights made with glass will let in a lot of light, but a skylight made with Lambertian Diffuser acrylic will let in more light because less is bounced back. Light will bounce off shiny or polished surfaces more than it will from dull surfaces. Glass is shinier than clear acrylic, so it will bounce back a little more light than the acrylic will.