Indy answered this question somewhere before, basically, it depends on the skill. Some skills, it's enough to have one person in the party who can do it, things like Perception, Mercantile, etc. But some things it's better if every character who can earn it has it, like War Master or Regeneration.
I just want to add one thing to that: sometimes one character or another isn't with the party during the game, so if the one character you have with a particular skill that is needed for the party isn't in there, then your party can't use that skill. So I decided early on that it's best to just buy every skill for every character I could. Besides, after a while I had plenty of money to do so.
