There's no simple answer. I've experimented with all three formats, and the results have been inconclusive.
Common sense would suggest that the best format is going to depend on your content and on how readers use your pages. For example:
1) If your pages have very little content or consist mostly of photos, a leaderboard or banner might work best. Why? Because visitors aren't likely to stick around long on any given page, and they might not notice a skyscraper.
2) If your pages are rich in text, a skyscraper might work best because visitors are likely to delve into your content before they're ready to leave the page. Also, if you have an information site, readers may have a greater inclination to click after they've been learned about the topic at hand. (For example, if you're running a digital-camera review site, a reader is more likely to click on an ad for the Widgetco FX-1000 Digital Camera after he's read a positive review.)
Some people say that some of the ads formats show lower paying ads than others. Like, a 4 ads banner will show ads with a lower CPC than a skyscraper. I am not sure this is true. I guess results will be displayed based on the CPC bidded and click-thorugh rate. I don't remember having to choose in what kind of format I would like my ad to show when I was setting up a adwords ad. What do you guys think? Thanks