Video and audio codecs must buffer a certain amount of time to make their compression work so latency is always going to be an issue for digital media.
On the decoder side the media player must pre-buffer data to prevent data underruns this also adds to delays in playback.
Some codecs work better than others but usually cut corners i.e. poorer compression for low latency.
If you're experiencing excessive delays try adjusting the video capture resolution and frame rate perhaps you have the settings too high and the CPU is struggling to cope.
As for Skype (including mobile phones) they do have a delay although this may not appear obvious since you cannot hear yourself at the other end.
If you want further confirmation why not get your friend to point the webcam at their Skype window and see how long it takes for you to wave and get a wave back.