Firmware updates are the changes that the maker does to the device software. These updates maybe bug fix or new features (by changing the firmware source code). It's generally advised to update your firmware if you don't want to keep your mind busy with "Should I update or not?".
However if you have time to read the description for each firmware update then definitely do it. If you found that the update is about bug fix then it's highly recommended that you update your firmware even if you think that the bug fix isn't directly related to something you use.
For me I read the update description first and see if I want or not, for example I usually skip languages update.
Also try to understand the versioning schema in the firmware. These are the numbers and this may have different forms based on the manufacturer but it's typically like what you have described in the question: X.X.X
The first digit from right means a minor change to the firmware. This could be a small bug fixes.
The second digit from right usually contains many changes that are packaged together.
The third digit from right usually means a whole new firmware or a major release or lots of changes happened after many minor releases. This is highly recommended to download.
is it possible to skip firmware updates? is it recommended for/against?
Yes you can definitely skip them if you want. I would recommend to update after you read the description and you feel that you need this update (like a bug fix). If you feel that you don't need it then don't bother.
If the update is not important then I recommend (based on my experience with software generally) not to update right away. Wait for a couple of weeks before updating and it's recommended to read the reviews on the new update to see if it introduced new problems or not.
is this Canon specific? What about other makes?
I believe that this is general for not just Canon or digital cameras but for every piece of software.