Odd shaped skylights can be built but is it worth the cost?
You can build skylights to any size and shape but there are limits to what materials you can use and realistically limits to the cost effectiveness of the different types and shapes. However, we do have solutions to interesting problems. For instance, lets say you want a round skylight. You could cut a round hole in your roof, frame a round opening and install a round skylight. It is possible and it has been done, for a price. A better way that gives the same results would be to cut an octagon hole, build an octagon frame and curb (much easier than round) and install an octagon or even square or rectangle skylight. Then you can install the finish material inside the octagon shaft in a round shape. When you look up, you see a round skylight.
This method is much cheaper and less problematic and gives the same look.