Some writers find themselves bored or lost in the middle of a story or novel. The current scene just doesn't seem to matter, but a future scene has them very excited, and they want to jump ahead to write it. I'm often asked whether this is a good idea or not.
Every writer has to find the process that leads to the best results for him. Writers don't come off the assembly line, so the right process for someone else is not going to be the right process for you. That said, most writers have no idea which process will generate the best from them. It is often not the process that you are most comfortable with, or the process that comes naturally. So you need to experiment with different writing processes and then look at your results, and see which process helps you achieve the best result.
Some writers work very well out of order. Most of them have a very clear idea or outline of exactly what's going to happen in the story or novel. Without that, you can certainly still write out of order, but you'll probably find you have to throw out a lot of what you've written. There's nothing wrong with that, and often writers can't avoid a process that requires throwing out a lot. You just have to be ready for that and accept it's part of your process.
There are two big dangers with writing out of order. First, the story may have a weak causal chain. A strong causal chain (in which one event causes the next, or the character's motivation and nature cause things to happen) is critical to give the reader the illusion that the story is evolving on its own and the author is not manipulating events and characters. Writing out of order can make it difficult to create a strong causal chain.
The other big danger is that you fail to push scenes to become dynamic and interesting. An author who wants to jump to the exciting part is an author who hasn't figured out why each and every scene in the story is exciting. And every scene should be exciting. I'm not saying someone has to die or be threatened, but something needs to be at stake, characters need to be struggling, physically or mentally, and the situation needs to change in a significant way. That creates excitement. Rather than jumping to something that seems exciting, you may find it helpful to think more about the scene you are jumping over. Why does it seem unexciting to you? If it is unexciting, how can you change it to make it exciting? Chances are you need to make major changes to that scene, which will then affect what comes after, and your "exciting" scene will be vastly different than you're currently imagining it by the time you get there (and it will be much better and even more exciting).
One advantage of writing out of order can arise when you are using multiple viewpoint characters. If, for example, you are writing a novel in third person limited omniscient with several different viewpoint characters, you may find it helpful to write the scenes from one point of view character at a time. You can write all the protagonist's POV scenes, then write all the antagonist's POV scenes, then write the secondary protagonist's POV scenes, and so on.
This allows a writer to stay focused on what's happening in a particular plotline, to keep the characters consistent, allow the characters to develop based on events, and to maintain a strong, distinctive voice for each viewpoint character.
The difficulty with this method is, of course, that events in another plotline affect the events in the plotline you're working on, and it's hard to know exactly what those other events will be unless you have fully imagined those unwritten scenes. Usually this method requires at least a general outline and a fair amount of revision. For example, once you finish the antagonist's scenes, you might see that he didn't act exactly as you'd expected, so circumstances are different for the protagonist and you have to go back and revise the protagonist's scenes. But this can be a valuable tool for maintaining focus and creating strong characters.
So when considering writing out of order, think about why you are feeling this urge, what your particular strengths and weaknesses are as a writer, and whether writing out of order will exacerbate your weak areas or help improve them. And if you find you just can't get through the current scene, then by all means jump ahead and deal with the problems later. Pushing ahead, however you can, is always better than giving up.