Strength, Speed, Senses, and Durability
With no muscles, obviously the magic is providing movement power to the skeletons. But how much? Let's suppose they get about the same strength as a human warrior. The human skeleton only weighs about 15% as much as a body, however. So with normal human strength, we should be able to see skeletons leaping 15 feet into the air easily. It should also be able to run faster than a human (less mass to push and less air resistance). Furthermore, they take less time to accelerate their weapon-arm when they strike, since there's not only less mass to move but less friction slowing them down, so they should be able to swing a weapon more quickly and more suddenly than a human. And of course, there's no reason you couldn't give them superhuman strength to make things even scarier.
Also, since they are controlled by the puppet master, they are not going to get fatigued and can react as fast as the puppet master makes them. They don't need training to learn techniques or skills, they just move as commanded, with all the strategy of the puppet master's mind. They should be reacting (with beyond-human speed, remember) to dodge or parry attacks, and each skeleton will essentially have the accumulated experience of every fight every skeleton has ever been in. And how do they see and hear? They're clearly not getting sensory information with eyes and ears, so it's totally legitimate to have the magic also provide them with 360-degree vision, the ability to see in the dark, or x-ray vision.
And it's also completely up to you to determine how much damage it takes to stop one of these things. What's to keep a skeleton from continuing to fight after it loses an arm? Or after its rib cage has been smashed in? Or its head knocked off? And once it has been reduced to individual bones, what's to prevent them from reassembling?
And if all this isn't enough to constitute a challenge, remember you can increase the numbers of these things. Any hero should think twice before facing an army of super-fast, high-leaping, non-tiring swordsmen who can see through walls, move at the speed of thought with perfect coordination, and are all but unkillable.