Hero Skins were introduced on the Spring 2019 update and can be obtained by completing the Season Challenges. Every Season Challenges will reward a unique skin to a hero.
Skins don't affect stats or gameplay, it is an aesthetic item that will not improve the Hero in any way.
To unlock an exclusive hero skin you must buy the Gold Tier ($4.99) for the season and complete enough challenges to get the final reward.
The first skin is the Gladiator King. Every season will reward an exclusive skin, so yes, the Queen and Warden will have special skins on the future too.
The first skin available was the Gladiator King for the Barbarian King. The second was the Gladiator Queen for the Archer Queen.
For more information about Seasons, Tiers, costs and rewards, visit our Season Challenges guide.