I would paint it whatever color the rest of the ceiling is so it doesn't stick out like a sore thumb. I would want it to blend it, and enhance the look of the house, not be an eyesore.

If you post some pictures of your light and the room, you'll get more reponses.

I agree with Hayley above. paint it the ceiling color.You want it to blend in not draw attention or appear as a dark tunnel.

You could try painting the inside a half a shade lighter than the ceiling.

Depends on the size of the skylight. White for small long shaft. Room color for a large opening. Frame of the skylight can match the wall colors too if wanted.