Here's what I know...
Swordfighting: Helps in duels, helps in tournaments, helps in defending against and in making infiltrator attacks, goes up in battle sometimes if you command infantry units, don't know if it influences the battle but I wouldn't be surprised.
Jousting: Helps in tournaments, goes up if you command cav in battle, may influence battle.
Leadership: Withdrawal %, marshal settings, has some effect on how your unit performs (even beyond withdrawal settings). I have heard rumours of other effects at high leadership.