Usually used by a person to show that they are not amused by another persons lame attempt at humor.
May also be used to exclaim your delight / amusement at seeing another person humiliated publicly.
May also be used in a shortened form such as "Skig", or as "skigging", "skiggin'", "past tense as "Skigged" or even as "skiggable". Other possible variants are "skigg-alicious" ;, "non-skiggable" etc.
Rob and Mike are outside messing around on skate boards. Mike states that he is going to attempt some sort of fancy maneuver on his board. The attempt fails - Mike falls to the ground and busts his ass. At this point Rob exclaims in a loud voice while pointing and smiling Ahhh Skiggy guh giggy! Mike is humiliated. Using the shortened form of "Ahhh Skigg!" would also have been appropriate.
A Sniggy Pig is one who means a lot to another. It is almost exclusively used in an affectionate context but can be incorporated into everyday language also. Similar to other terms of affection, it is assumed one will only have one 'Sniggy Pig' at a time.