They've definitely got a rare chance to drop things. I farmed them over and over a few weeks ago, just doing ~1-minute runs on them, till I filled my inventory. It was probably about 20 runs or so, with 0-3 items dropping per run, all white or gray in quality. I got maybe one or two magic items. Even with a run where I got lucky to have an MF shrine spawn right before SK's room, they didn't drop any magic items at all.
A good tip for farming these is to make a single-player game, go through the entire cathedral, all the way up to the checkpoint your character receives right before you get to the Skeleton King's door. Then just kill the skeletons in that room and quit the game without killing the Skeleton King. Then just click the 'Resume' button to start a new game and your character will be at that saved checkpoint right before SK's room again.
Lot of people is farming that skeleton pack before the boss, can be done really fast, with use of waypoint and rejoining games without killing SK.
From my experience their drop is quite low, need some serious luck to find something useful there. At least it is possbile to drop.