I often have thousands $ skrill, I often wonder what is the best exchange to buy bitcoin with skrill (lowest price). Many thanks.
You should know that Skrill or Neteller (as these companies are part of same corporation) are not usual payment method used by exchanges.
There is only one full fledged exchange, I am aware of, which is accepting this payment method:
https://www.bitpanda.com/ a bitcoin exchange based in Austria and available only for EU citizens.
Apart from standard exchange trading you can use Localbitcoins or find people who are willing to trade with you directly.
PS. I know that VirWoX in theory allows you to use Skrill (and many more payment methods) but it is not bitcoin exchange but service used to acquire Second Life Lindens.