Years ago I implemented my own for a probabilistic algorithms class. I'm not aware of any library implementations, but it's been a long time. It is pretty simple to implement. As I recall they had some really nice properties for large data sets and avoided some of the problems of rebalancing. I think the implementation is also simpler than binary tries in general. There is a nice discussion and some sample c++ code here:
http://www.ddj.us/cpp/184403579?pgno=1
There's also an applet with a running demonstration. Cute 90's Java shininess here:
http://www.geocities.com/siliconvalley/network/1854/skiplist.html
