How can I have Skype run a command when I get a call?

A Hack-ish way to achieve this would be to find out the title of the window which appears when there is an incoming call and use wmctrl to check if such a window is present.

You can write a script and then use cron or your own logic to run this script at fixed intervals.

I don't know the format of Skype incoming call window's title, but the overall script could be something like this (if written in python)

#!/usr/bin/python
import subprocess

# Change below line according to skype window title
# You might need to use regex in case the title has usernames 
command = r"wmctrl -xl | grep 'Skype - Incoming'"
output = system.exec_command(command, getOutput=True)

if output != "":
    # Play sound here
    pass