With version 7.7 of the software, shared links will now show a visual summary of the content. Web Page links now display a preview of the site, with embedded images and animated GIFs in the chat window. Video links show as thumbnails.
Currently, the previews only show up if you send a link without any text, but Skype says further improvements are coming. Mac is the first platform to support the new embeds; other platforms are due for the update in the coming months.