While both can bring in natural light and make a dark room cosy there is a difference. Your choice will depend on the style of your home and the location of the room.
Skylights are fixed windows that do not open, so it is able to help by adding extra light but won’t help with ventilation. Whereas a roof window not only allows in the light but will help with ventilation too as you are able to open them. Roof windows can also be called venting windows. Have you ever noticed that you feel better when in a room that has more natural light? Both options will also add to the resale value of your home. The first step would be to plan and identify if you can install a skylight or roof light in your home. It may be that your home is not suitable for skylights as roof pitch affects drainage.