Just open the Orc Demo Campaign (included in TFT, else download the WC3-Demo). In one of the maps (I think the second one, in the cave) Blizzard did describe their functions used for skipping cinematics.
Basically there are three triggers:
1. the skip-trigger
2. the cinematic
3. the stuff being done if cinematic skipped
The 3. is just like the cinematic trigger, but without anything that needs time. Only the important things (units killed, any values changed) are left. The cinematic trigger has a "If [variable] = [value] then Skip Remaining Actions & Run 3. trigger"-action in front of every time-using action.
The skip trigger just checks if the player did press the Esc-key and which cinematic is running (just check the Blizzard-triggers to understand what I mean here).
The basic idea is:
Running the cinematic;
Player presses Esc;
Skip-trigger detects it and sets the [variable] to the needed value;
The cinematics "If [variable] = [value] then Skip Remaining Actions & Run 3. trigger" skips the remaining actions and runs the 3. trigger;
Of course a cinematic can't be skipped anytime, you'll see that every cinematic comes to a point where it can't be skipped anymore, else it would mix up with the 3. trigger.