To put a bit finer point on it:
In the Coast Guard, and I believe in the Navy as well, "skipper" is most commonly used for the commanding officer of smaller ships or cutters, or boats (less than 65' long) which translates to a rank of Lieutenant (O-3) for officers, Chief Warrant and Warrant Officers (CWO2, 3, and 4 and W-1), and Chiefs (E-9 to E-7). On those vessels, the crew members are likely to have more day-to-day contact with the C.O., and using the term "skipper" becomes a term of appropriate respect combined with familiarity. In my experience, a Commander (0-5) or above would never be called "skipper" by the crew, the chiefs, the officers, or even the XO.
New captains of small ships and boats consider it a milestone in their relationships when their crews begin to refer to them as "skipper" instead of the more formal "captain."
As Kevin pointed out, radio comms between Coast Guard units and civilian boats and ships can include references to their captains as "skippers," but again, in my experience, the larger the vessel, the more likely the captain will be referred to by that title. The top guy on any vessel large enough to require that a captain have a license, for sure, will be referred to as captain.