I personally use both. I prefer the MSN chat with all the toys like drawing and cusom emoticons, winks and nudges. However, Skype still has better voice capabillity for now, primarily for conference calling and holding one call while you take another, etc.
MSN Live messenger has made a big leap in the right direction with adding dial out and text messaging support but it's not quite there. I'm sure it will get there eventually but until it does I'm sticking to using two messaging tools, meaning that in the meantime all my calls (and therefore money) are going through eBay (Skype). Sorry Microsoft.