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
In the long run, skipping gears when downshifting WILL cause more wear on the synchronizers if you don't double clutch, especially if you are skipping to a low gear for your speed like skipping from 5th to 2nd at 50 MPH. If you do this often as a normal part of driving, your synchronizers likely won't last as long as you would like. Skipping down gears at lower speeds and RPMs isn't as much of a concern, but you will have to be the judge of what is normal use vs abuse for your vehicle and driving conditions. If in doubt, I'd err on the side of not skipping gears when downshifting or double clutching.
One way you can get an idea of how much stress you are putting on the synchronizers is to pay close attention to what the transmission feels like when you shift it. Remember that the longer a shift takes and the harder you have to push on the shifter to get it into gear, the more wear you are causing. So if the transmission goes into gear quickly and smoothly with little force, you likely aren't causing much wear. But if it resists and feels like it's trying to block you out, that's a good indication that you are likely stressing the transmission and causing unnecessary wear.
My car's owners manual says to not skip gears and I know of at least one manufacturer who created a service bulletin specifically about customers ruining their synchronizers by skip shifting, so there is definitely a risk of causing excessive wear when skipping gears if done poorly or taken to an extreme.