This is too long to be a comment to Peter's answer, but I'd like to point out that his answer has a vast generalisation.
Vaguely, the following holds: Any non-degenerate symmetric or skew-symmetric or hermitian or anti-hermitian form on an $n$-dimensional space $V$ gives rise to the notion of an adjoint with respect to that form, $A \mapsto A^\ast$, on the space of transformations of that space $A \in End(V)$, which we can write as $n \times n$-matrices. (For the standard inner product on $\mathbb R^n$, this adjoint is just the matrix transpose.) Things of utmost interest in mathematics and physics are Lie groups consisting of those transformations which respect such a form, meaning their adjoint is their inverse, $G^\ast = G^{-1}$. (For the standard inner product, we're looking at the classical orthogonal group $O_n$ or $SO_n$.) Then there is an abstract machinery which shows, vaguely said, that the Lie algebra corresponding to that Lie group consists of those transformations which are "skew" with respect to that form, meaning their adjoint is their negative, $A^\ast = -A$. (For the standard inner product, here you get the skew-symmetric matrices, and that's what Peter's answer talks about.)
Now if one generalises this machinery far enough, there is a unifying theory of all the classical Lie groups and algebras (i.e. the types $A-D$, i.e. anything that eventually becomes something like $SL_n$ or $SO_n$ or $Sp_n$), and in this theory one has to switch back and forth between symmetric and skew-symmetric, hermitian and anti-hermitian, orthogonal and symplectic all the time. In a way, these notions just complement each other, and one gets a better view of everything when one allows oneself to go to the level of abstraction where they are variants of each other.
This theory is laid out best -- to my knowledge, I'm happy to learn of other sources -- in Knus, Merkurjev, Rost, Tignol: The Book of Involutions (if you're wondering "what involution?", it's the map $A \mapsto A^*$ above). I tried to give a very quick introduction to this theory in chapter 4.5 of my thesis.
Note: One thing that is easy to get confused about is that, by the crazy ubiquitous usefulness of matrices, they feature in this theory on at least two entirely different levels: 1) In the very special case of the standard inner product, $A^* = A^{T}$ (matrix transpose), the space of all skew-symmetric matrices form the Lie algebra $\mathfrak{so}_n$ to the special orthogonal group, see Peter's answer. But 2) also, each skew-symmetric matrix can be used to define a skew-symmetric form, and such a form defines one adjoint i.e. involution, and then one can look at the group of transformations which respect that form (which now might be a symplectic group $Sp_n$), and then its Lie algebra might be given by matrices which are "skew with respect to the skew form" (which might not be skew-symmetrical in the classical sense at all, rather resembling something orthogonal again).