A building with a double-skin facade has an envelope consisting of two walls. The outer wall is usually out of glass, while the inner wall can be out of any building materials. Between each of the walls there is a cavity, usually varying from 5 to 50 inches. A larger cavity allows for installations such as HVAC, electrical and shading devices between the walls. 
So what is the point of having two exterior walls? In fact there are many good reasons, the best arguments for using a double-skin façade are increased U-value, pre-heating of ventilation air, better sound insulations, etc.
Double-skin façade on Mediaset’s Headquarters in Milan 
Usually the benefits of a double-skin façade are larger in cold climate countries. The cavity between the two walls will usually have a higher temperature then the outside temperature, and there are many ways to utilize that. However, if designed correctly you can benefit from double-skin facades in warmer climates as well. Especially through placing shading devices in the cavity. By placing blinds in the cavity, the solar waves are reflected before they enter the building. However, in warm climate the cavity may become very warm so good ventilation is required. Openings in top and bottom of the cavity ensures such ventilation.
The air cavity can be incorporated into the ventilation system in different ways. 
As well as reducing energy consumption, especially in cold climate, double-skin façades improve the sound insulation of a building. Double-skin façades are especially good for reducing low frequency sounds. A reduction between 15 and 30 dBA is normal . A problem that could occur is noise traveling between rooms through the cavity. Sound absorbing materials in the cavity is therefore recommended. Another interesting benefit from double-skin façades are new architectural possibilities. Large glass areas are modern and popular among architects. Double-skin facades allows for such large areas without increasing the energy consumption.
Double-skin façades are by no means a new invention, and the first known building using this principle was finished in the early 1900’s. However, there has been an increasing interest for double-skin façades lately. One of the main reasons for the increased popularity is the applicability in reconstruction and renovation project. Double-skin facades can often be installed with minimal adjustments to the existing building.
Have a look at the following YouTube video for visualization of double-skin facades.
 Ruyter, E. W. (2003) Double-skin façades. Online: http://home.online.no/~bar-he/pdf/diplom.pdf
 Alibaba (2013) Curtain Walls. Online: http://www.alibaba.com/product-gs/389768855/Double_skinned_facade_curtain_wall_system.html