In Doubles UU, sky drop is kind of like a combination of protect and fake out. If you expect the opponent to double-target your sky drop user, then you can use sky drop to waste a turn. If your opponent has a support Pokemon and a support receiving Pokemon, then you can use sky drop on the supporter and disrupt the support. Additionally, sky drop is a real move, unlike fake out :P. Here's a sample set.
Thundurus @ Mago berry
EVs: 224 HP / 32 SpA / 252 Spe
- thunder wave
- sky drop
I would recommend not using it in Doubles OU or VGC19. There are too many better fake out users and flying attacks in those formats.