Simovitch posted this in answer to a similar question from me in March of 2010. You will find the answer (and a lot more) in the in-game help files:
Un-Disrupted, un-Routed Infantry and dismounted Cavalry units in line formation with more than 100 men that do not currently have an enemy unit in their Zone-Of-Control may deploy Skirmishers during the Movement Phase. The Deploy/Recall Skirmishers menu item of the Units Menu or corresponding Toolbar button are used for this purpose. When an Infantry or dismounted Cavalry unit has deployed Skirmishers, the facing icon of the unit changes to reflect this . When a unit has deployed Skirmishers, it can detect the presence of enemy units in an extended zone that covers the 3 hexes ahead of the unit’s normal Zone-Of-Control as in the diagram. However, the presence of an enemy unit in the unit’s normal Zone-Of-Control negates this ability. Enemy units which are detected by the Skirmisher zone and are not otherwise Spotted are shown as Unknown units . While a unit has Skirmishers deployed, all movement by that unit costs one additional Movement Point. When the unit fires, 100 men are subtracted from the strength of the unit to reflect the deployed skirmishers. Likewise, a unit that has Skirmishers deployed has a reduced probability of constructing Breastworks. A unit that moves into a Skirmisher zone of the opposing side pays an additional Movement Point for that movement and all other movement while in the Skirmisher zone. It costs a unit 1 Movement Point to deploy or recall Skirmishers. In addition, Skirmishers may not be recalled after a unit has expended Movement Points in that Movement Phase. Units which participate in Melee, either as attacker or defender, have any deployed Skirmishers automatically recalled as a result of the melee.
For one thing skirmishers keep you from blundering into unseen enemy formations and getting suffering unwanted defesive fire.