Skype allows you to edit your sent messages in a very easy manner.
Your last message (the one that you just sent) can be edited, by simply pressing the UP arrow key. When you do that the affected message will get highlighted and text to modify will appear at the input box. Then you can simply modify that message, like you would if you haven't sent it yet. Person on the other side will, however, be able to notice that you did the editing, since there will be a small icon of pencil at the end of the edited line.
Messages before the last one can also be edited. But in that case, you'll actually have to right-click with mouse on the message that you wish to edit and then select "edit message" from the selection.
You can go even further. You can actually delete the embarrassing message.
Of course this only helps if person on the other side wasn't there, when you typed it... :-)
If you have any suggestions for something that you would like to see here, let me know in the comments. Maybe there's an easy solution available for that too.