According to the release notes, you can now run Skype in the background on the iPhone 4 and iPhone 3GS running iOS4. This means that Skype users can now receive Skype calls and instant messages while other apps are running or the iPhone is locked. As with the iPhone's Phone app, you can continue your call while you switch to another application.
The update is free, and those who are already using the app should see an update appearing in iTunes on their iPhones soon.
Thanks to Michael, Gabriel, and Gary for the tip!