Vertical windows are the standard and classic way to go about adding both lighting and a good view to any room. You don’t have to worry about snow sitting on it, leakage or unnecessary brightness in your room when sleeping in. You can close the blinds if it’s too bright. They also are very easy to clean both from inside and outside. Of course, because they are located directly on the outside of a house, the chances of them being broken by flying/thrown objects are higher. The cost of them getting fixed, however, is fairly reasonable.
Skylights, are a great addition to any space. But there are some things you need to consider before deciding to move forward with this investment. These windows are located on an angle or horizontally on the ceiling, which provides your space with great lighting and warmth. During hot summer days, these windows let a lot of heat in the house, and during winter they let a lot of heat out of the house which means higher air conditioning/heating bills. So being located in an area with mild winters and summers is a good thing if you are going to invest in skylights. Obviously because of their location, they are a bit trickier to clean both from inside and outside. Cheaper models may have leakage problem during rainy or snowy days. They are also way more expensive to repair if damaged or broken as they often are specially insulated and waterproof.
In simple words, they are both good but serve different purposes. Get vertical windows for your bedrooms, living and dining room for good views, and to save money on your electricity bills. Install skylights in your bathrooms and kitchens since they might have smaller side windows and are usually warm/cool enough for your amount of time spent in them.