I made the mistake of having a Velux skylight installed in my bedroom. The installation was done by pros, both inside and out, and it has never leaked through 2 hurricanes. The installation was done along with a new roof about 10 years ago.
However, I hate the condensation and mildew in the wintertime. I am very handy and am considering cutting out the drywall light shaft, insulating, and patching the ceiling. Then I would just leave the skylight in the roof deck until the next roofing job (or until it leaks...)
I am very handy and this type of job, but am wondering if it is a good idea. The only downside I can think of is if the skylight develops a leak, I may not know it until significant damange is done.