What is locationd and why is my 3rd party firewall intercepting it in Snow Leopard at intervals?

Short answer: You are seeing the request to Skyhook Wireless because they have the geographic database that Apple uses for Core Location in the operating system.

Longer answer:

Skyhook Wireless is the company with the geographic database about WiFi access points that is used for the new location services (Core Location) in OS X Snow Leopard. Core Location is a developer framework for dealing with the computer's location, and a usage example is automatic time zone updates based on your location. There is an option to turn the time zone updates on/off under the Date & Time preferences pane under Time Zone.

Skyhook Wireless's database triangulates a location based on a combination of IP geo-location and the MAC addresses of wireless devices that can be seen, even if the networks it is triangulating the location from is not open. (MAC addresses are always unencrypted and public even when using WPA since the MAC address helps identify the access point.) If I recall correctly, they can usually triangulate to within a few hundred meters of accuracy.

As mentioned in another answer, locationd is the daemon (system process) responsible for Snow Leopard's new Core Location service, which uses the Skyhook WiFi location database to (attempt to) ascertain your location based on the WiFi access points your Mac "sees." However, disabling the "automatically update time zone" in Date and Time Preferences does NOT disable this feature. To completely disable Location Services, go to the Security preferences pane, and check the "Disable Location Services" button. Note that you'll only see any of these options if your Mac actually has WiFi. (this may sound obvious but I thought I'd better mention it seeing as how I just spent about ten minutes looking at my Mac Pro [which doesn't have AirPort] and scratching my head saying "gee, now I thought there was an option to disable that...")