The Skeleton key (when worn only by caster) gives 15 extra points to the Dodging skill. When used it instantly opens one non-magical lock per day. If the lock is magical the chance will not be guaranteed to open but is still very high
Nocturnal can be summoned on the 8th of Hearthfire. Upon speaking to her she guides the hero to a radiant dungeon to kill a mage. The hero has the option of sparing the mage's life and accepting a sidequest to get another artifact from a different dungeon, but this is not necessary and counts as betraying Nocturnal. Upon completing the task he appoints them to another radiant town in the region where they will find her Worshipper who awards them with the Skeleton Key, betraying the Daedric Prince or not.