Depends what you want out of them and how much you want to spend!
lightweight skewers need to be used more carefully that standard ones as they are not as strong
You need to get the correct length too
Standard Shimano skewers are fool proof! Spend £50 on a lightweight titanium pair and you'll end up breaking them if you don't know what you're doing!
I have a pair of Mavic skewers for sale for £7 posted (see the sale section)
a pair of mid-range Shimano's will offer the best value for money, be very strong and lock up well (although not that light)