I don't run 4E, but I did play in a year-long campaign in which the GM tried a few techniques for Skill Challenges.
First off, make sure you're using the updated rules. The original ones were nigh impossible.
We found the most enjoyment when we knew it was a skill challenge, when it was hard, when the players were free to use whatever skills they could
logically apply, and when we got a graduated level of success instead of an "all or nothing" deal.
Were I to run skill challenges, I would also require one or two "must be used every round" skills, and possibly even a "may only be used once in the Challenge" limitation on a skill. (Once you've done X once, doing it again will not elicit the same response.) Our GM also let us use certain skills as re-rolls, or to negate a failure. (This depended on the situation; Bluff might get you out of a failed Acrobatics check, or Athletics might save a Bluff failure (by running away), etc.)
Finally, I'd definitely explain that it's a skill challenge. There's a great article in Kobold Quarterly 12 about merging combat with skill challenges. This may help, as well:
http://www.koboldquarterly.com/k/front-page4942.phpTelas