The Skateboard had one major advantage over other form of transport.....It's stuck up Jimmy's ass for whenever he needs it, so it;s always available anytime he wants, It doesn't have to be gotten or put somewhere, like the bike, moped, or Go-Kart.
Another nice feature of the game is that nothing in the way of transport can be damaged, unlike the cars in GTA or other games, and the Skateboard, Bike, Moped, or Go-Kart doesn't catch fire and blow up.
As to the speed, I always found the Skateboard to be faster than a sprint, and easy to change back and forth from one to the other when needed. For real speed, nothing beats the Go-Kart for getting from one end of the map to the other, and the nicer bikes are fast enough too.