Is it bad to skip gears when downshifting manually, e.g. from 4th directly down to 2nd etc?
If your car is slowing down, and you are at a "safe" speed for 2nd gear, then its perfectly normal to skip gears. If you're going the wrong speed and the engine RPMs aren't even close to what they need to be, the syncros might have a hard time lining everything up and you could hear a little grinding, and cause a little wear, but it still shouldn't cause any major damage if you only do it accidentally a few times.
This is most noticeable in many cars when trying to shift into 1st while the car is still moving because it's expected that you won't need 1st unless you come to a stop. This matches up with what I mentioned about matching speed/RPM.
It's a recognized advanced driving technique and is called "Block Shifting" or "Block Changing". Provided you are proficient in matching RPM and don't rush the 'box, it's not only fine but there are times when it's preferable.
Some more information from the Bristol arm of the Institute of Advanced Motorists