The general Rock-Paper-Scissors theory behind the balance used to go like this:
Targeted abilities > Mobility (since you couldn't dodge them)
Mobility > Skill shots (since they made them much easier to dodge and juke)
Skill Shots > Targeted abilities
Skill Shots are typically - and we're speaking in really broad terms here - more powerful point for point than their Targeted counterparts. Skill shots are usually "this is more difficult to land, but if you do, they hit hard." However there are a lot of factors to consider - is the ability one target or multi-target? Can it pass through minions or can you minion block it? If they pass through, does the damage fall off per target? (like Cait's Q, Ez R, etc).
However that was the rule of thumb - skill shots generally deal more damage than targeted abilities. Furthermore, skill shots provided some other benefits as well - for example, you can either facecheck brush before entering the Fog of War, or you can fire skillshots into the Fog when chasing a low health enemy, whereas you lose the ability to Target them at all if you lose vision of them. This also means that you can still hit stealthed enemies with skill shots (and AoE, obviously). I've gotten plenty of kills on Eve, Twitch, Vayne because I was able to land, say, an Ezreal Q on them as they stealth.