I just saw an article in the US about this the other day, actually, so I thought I'd chime in.
There are several parts to this question, so I'll address all of them.
Software on your computer
Yes - always. Any software on your computer programmed to specifically target Skype can do just that. Any means of DLL injection, hooking, etc. techniques can be applied to phish the data before it ever touches the encryption process. This, however, can be assumed for any software on your computer, not just Skype.
Software outside the local computer (i.e. on the network or out in the open internet)
Yes and no. There always runs a risk of any sort of interception of network data - that is what encryption is for. As Eroen stated (and the last I heard), Skype uses AES which is a tried-and-tested encryption algorithm that, if implemented correctly, can take years to crack through cryptanalysis. That being said, there is always a chance of a major breach in security and your data getting compromised (in a very slim off-chance). Along with the fact that this can happen to any software transmitting data over the internet, there is usually nothing you can do to prevent this rare event from happening.
As far as authoritative (government) agencies tapping information
Seeing as how this has been a hot and controversial topic worldwide, I'll speak in the general sense as well as in the context of the USA.
As of right now, video and audio calls cannot be tapped by an agency. This is due to both cyber-regulations as well as the fact that Skype is P2P (peer-to-peer) when it comes to calls. Text, however, is a different story of course.
The fact that calls are P2P suggests this is probably how it is everywhere unless there is something intercepting that particular call data between caller A and caller B. Even more, calls are encrypted, so there is an added layer of security.
Here is a link that explains a little more about what is and isn't encrypted in day-to-day Skype conversations.