The Skeleton Key is a high quality Daedric lockpick from Nocturnal. It has only 50 uses which should open every door in the game, with the exception of blocked doors and certain quest specific doors.
It can be obtained by a high ranking quest with the Thieves Guild Master Thief, Gentleman Jim Stacey in Vivec, in the Foreign Quarter Canalworks. See the Kill Hard-Heart quest for more information. If you are not a member of the Thieves Guild you may also acquire the key by killing Jim Stacey, though you cannot get it by pickpocketing him.