The Skill lists are used to pick skills earned as advances. Your warrior is restricted to specific Skill lists depending upon his warband type and what kind of warrior he is. Each warband entry includes a list of skills available to the Heroes of that particular warband.
All warbands have their own strengths and weaknesses which relate to the skills available to them. For example, the Possessed are good fighters and very strong, but they are not very academically minded.
Some warbands also have access to a unique Skill list, which is clearly indicated in their entry.