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Shed skin helps with staying power since it can prevent it from being burnt or put to sleep, and sometimes it can net you a one-turn rest
Intimidate gives you increased bulk on switch-in, and can cause your opponent to switch and give you a free turn. It's also much better on doubles making it very good for support sets in there.
Unnerve is trash.
Overall, if you're going doubles get intimidate, otherwise consider more what kind of set will you be running... in PU of course. Objectively speaking, however, intimidate is a better ability. It lends itself to many more potential types of pokemon and isn't luck dependent like shed skin.
