I don't think skeptical is the right word, though I have certainly felt that way toward Islam a few times. I think "discerning" is good, and "diligence" against corruptions and false doctrines of men.
You can never know truth in your heart if you do not seek the truth for yourself. That involves more than dutifully learning all the rituals and proper prayers and simply believing what others tell you in regards to what the scriptures say and instruct.
Yes, people of other religions should do the same. Definitely.
Is Bloo* okay? I heard Mac punched him in the face..Then again, you know Bloo*, it was probably all part of a scam.
And no. I was skeptical at first, but to me that curiousity has been satisfied. I Love islam and don't doubt its truth or wisdom one bit. Although its hard to believe that an unseen God exists and that angels and Jinns exist, I believe its so because 1. Everything that islam has told me about the world, about hygine, about social life, all make sense and the wisdom's behind certain commands are flawless and proven to be helpful. If that's true, why shouldn't the rest be true? and 2. because of the fact that there are parallel universes where physics doesn't apply and anything and everything can exist, is plausible.
Everyone should be skeptical of everything. An intelligent, rational person would never accept something as "gospel truth" just because someone says it's true. You should demand proof. If they can't provide proof, then don't buy what they are trying to sell you.