To get out of Skull Castle, go to the bridge, fall off on the left and take one of the bottom left exits (the first one goes to Adrianna and the vamps or the second to Doshi-Gin. Then you head North and can go back out the way you came in.
The key to the Lich's vault can be obtained if you accept Adrianna's quest and choose the key, like Wyvern says. Alternatively you can pick the lock with level 12 in lockpicking skill (if you only have level 7, then use a level 4 or 5 lock pick set).
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