you have to have the phone line connected for the first 12mths of your contract or else sky will charge you.you also need it to use some of the services ie box ffice.other than that no.
They might tell you you have to use a phone line but you don't. What happens is on install they check the phone line and connect to verify the box, however this doesn't have to be done via a phone line and can be done by calling the Sky technical team.
My Sky+ box has never been plugged in to the phone line in my current house.