@MacCali – I agree with Speedskater.
Insulation and shielding are not the same.
Insulation is plastic, usually PVC, but can be rubber, cloth, or even air. It surrounds conducting wires and prevents short circuits. Shields are actually conductors, usually braided wire or thin layers of foil, surrounding an insulated conductor. Unlike insulation, shields do not directly contact the conductor. They are meant to block electromagnetic interference (EMI) or radio frequency interference (RFI) from contaminating the signal in the wire.
Most, if not all, antenna, microphone, phonograph, and interconnect cables come with both insulation and shielding. The all carry low voltage signals.
I doubt if you can find speaker wire that lacks insulation. But it is rare for speaker wire to need shielding. (You should ignore all advice that suggests that different types of insulation make an audible difference in sound quality.)
Skin effect is real, but does not affect speaker cables.
The higher the frequency the more pronounced skin effect becomes. For AM, FM, TV, cable, etc. frequencies, the carrier waves are in the megahertz range (mHz = millions of Hz). For these signals, skin effect is significant. This why copper-coated steel antenna wires can be used. The steel core allows these cables to be installed at higher tensions than copper-core wires can endure.
At audio frequencies, 20 to 20,000 Hz, skin effect only becomes a minor factor at 10-20 kHz. At all other audio frequencies skin effect is insignificant. If any audio cable company or salesman talks about skin effect in a sales pitch for speaker cables, you should walk out the door.