Give the naked stalking courier his clothes back

No one in the game refuses to speak to you based on what you're wearing.

They'll even talk to you if you're freezing your rear off, stark-naked, in front of them. (Though as Communist Duck points out, they do remark on it.)

Edit

I have found that the Captain of the Guards in Solitude gets offended if you walk around in Stormcloak armor. Instead of making generic "captain of the guard" comments, if you're wearing the Stormcloak armor, he'll accuse you of being a Stormcloak supporter. If you say to his face, in the Imperial Army's Headquarters, that you hate the Empire, he'll get understandably angry and attack you (though he accepts yields, so clearly he doesn't want to kill you that much...).

So in short, your outfit might add additional dialog options, but as far as I've been able to determine, it never precludes you from any.

This is different from New Vegas, where it did work like that, but remember, that game wasn't made by Bethesda.

Unless you use the console there is no way to get the Skeleton Key back.

However, if you've got high enough lockpicking and have invested some perks that way, you could always grab the "Unbreakable" perk, which makes regular lockpicks work the same way as the skeleton key.'

When you use the console command to get the skeleton key the skeleton key breaks. The cheated skeleton key will respawn when broken but it's still not quite as good as the original skeleton key which can't be broken. When the cheated skeleton key breaks you have to find the place where the lock unlocks it. This can become annoying, but it does provide infinite lock picks.

I suggest not finishing the quest to return the skeleton key then you get the keep the original skeleton key. :)