JP also has a post on this at Gene Expression.
Here's a list of genes mentioned by Shriver at al. in this paper which are implicated in pigmentation differences:
AFR - EUR
The genetic architecture of normal variation in human pigmentation: an evolutionary perspective and model
Brian McEvoy, Sandra Beleza and Mark D. Shriver
Human Molecular Genetics 2006 15(Review Issue 2):R176-R181
Abstract: Skin pigmentation varies substantially across human populations in a manner largely coincident with ultraviolet radiation intensity. This observation suggests that natural selection in response to sunlight is a major force in accounting for pigmentation variability. We review recent progress in identifying the genes controlling this variation with a particular focus on the trait's evolutionary past and the potential role of testing for signatures of selection in aiding the discovery of functionally important genes. We have analyzed SNP data from the International HapMap project in 77 pigmentation candidate genes for such signatures. On the basis of these results and other similar work, we provide a tentative three-population model (West Africa, East Asia and North Europe) of the evolutionary–genetic architecture of human pigmentation. These results suggest a complex evolutionary history, with selection acting on different gene targets at different times and places in the human past. Some candidate genes may have been selected in the ancestral human population, others in the ‘out of Africa’ proto European-Asian population, whereas most appear to have selectively evolved solely in either Europeans or East Asians separately despite the pigmentation similarities between these two populations. Selection signatures can provide important clues to aid gene discovery. However, these should be viewed as complements, rather than replacements of, functional studies including linkage and association analyses, which can directly refine our understanding of the trait.