I generally always work in the way you suggest; bouncing draft mixes, attaching them to movie and sending for the clients feedback/approval. This is the case for both our local and non-local clients. I like to think that this gives the client the opportunity to review the work at their own pace and get back to you with well considered points(!). Whilst clients may call over skype/phone to discuss feedback I will often ask them to summarise their points over a quick email so that there is documented direction that you can refer back to.
Don't get me wrong - I totally recommend meeting new clients for the first time face to face where possible, but once you are well acquainted I would think a meeting/conference call for every interim delivery would become an inconvenience and you would never get any work done (especially with multiple projects on the go). I would only say that you should have a good system in place in terms of how you receive and deliver media/information so that you never miss a trick.
In any case I often find there is more than just one client in the chain of command (sometimes in different locations) that need to listen to the work, and to organise conference calls/online listening sessions with these people every time a new mix is prepared would be unfeasible. Then of course you have time differences to consider.
I work alongside two other guys, and in fact we often work together from different locations (within the UK) and therefore also communicate over Skype. We haven't run into any problems yet and are always firing stuff back and forth to each other and then the client over email and Skype. The internet is obviously awesome for expanding your business, but I wonder what it does for my real-life social skills!
In terms of solutions for simultaneous playback, I have nothing! Except maybe using soundflower to link your DAW output to your skype input? But that only gives control at your end and will probs have fluctuating quality - but does mean you can put plug ins on your voice when you ring your mates up :)