Skylights can be bought and installed for about the same price as windows, with buying one costing around $500, give or take a hundred dollars, and the total cost of installation and purchase of top class skylights will not go above $2000.
The
benefits of skylights are quite a bit different from those of standard windows, so the prices cannot be realistically compared for value. A key choice you should make is whether you will buy a high quality skylight or one of a low quality. I would certainly recommend the purchase of high quality skylights. It's a long term investment, and it's best to get the highest quality you can to reduce the repair and maintenance costs later on.
It is very difficult to fix a hole in the frame of a skylight, whereas in normal windows it's much easier to repair. Whilst it is possible to hire professional companies which will fix your skylights, it's always better to buy high quality and not have any hassle later on. As for the size of the skylight you may decide to buy, I will recommend going for the largest one you can get. In theory, these can be damaged more easily, but I believe that getting the most light and ventilation into the house is more important than a marginally higher chance of damage.
I hope that this helps you in choosing what skylight you should purchase, and what prices you should expect when installing them, if you do decide on skylights in your home.