Marc commented that Skype 2.5 has improved support for dialling conference codes (I guess this is under Windows). That's good to hear.
I've been told that if you mute Skype before you dial in the conference code, it works more reliably.
I tried using the Yahoo! Messenger 8 beta to dial a UK number, and it didn't work. I'm wondering if they don't have such broad international coverage yet. A big part of the success of Skype is that they not only have the technology, but also that they have forged the necessary relationships (for billing, etc.) with telephone companies around the world.