I believe they are the same thing. I am from the US, and I hear "skylight" more commonly used. Other countries may use "roof window" more often, and I am interested in hearing from others if that is the case.

I honestly would not associate them as being the same thing. In my mind, skylights are not windows in that they are typically sealed. A roof window should be able to easily open and close. Also, roof windows tend to be found on slanted roofs where they can serve both as a source of light and access to open air. I don't think I would ever refer to a window on a flat rook as a roof window (but some people may). Another difference I find is that skylights tend to have a layer of diffusion (although not always) and tend to protrude toward the exterior so that the diffusion can scatter more light internally.

Here are the technical definitions... "A skylight is a fixed window set into the roof line. It may incorporate venting options, but the window itself does not open. In Europe, this type of window may be called a rooflite. A roof window is a window that actually opens, usually with a pivoting "awning" style mechanism. It may even incorporate window screening, in much the same way as an awning-style window set in side walls. Some manufacturers, however, call this type of window a "venting skylight." A light shaft refers to a structural adaptation in which a walled shaft passes through between roof trusses or joists to link a room ceiling to a skylight or roof window. This shaft is sometimes called a chase. This is often the construction used in one-story homes, where a horizontal opening in the ceiling leads is connected to the roof-mounted window by a framed and finished shaft. The framing required by a shaft can add considerably to the cost of a skylight. A tube window is a simplified and inexpensive form of light shaft, in which a small bubble dome window set into the roof line is linked to a lower ceiling by means of a flexible reflective tube. A tube skylight is normally used for small spaces, to provide outdoor light to a small bathroom, closet, or laundry room. This is a very inexpensive option. "