Here you go (prices from first official press releases):
Skyline Coupe (6MT Premium - Y3,560,000)
http://www.nissan-global.com/EN/NEWS/2003/.../030116-01.html
350Z (6MT "S" - Y3,300,000, "ST" - Y3,600,000)
http://www.nissan-global.com/EN/NEWS/2002/.../020730-01.html
I think the "ST" was the "Track" so from the press releases, the top 350Z was Y40,000 more expensive, but you could probably add a lot more options to the Skyline to make it more expensive overall. The "S" had the Brembos too which would make it a closer equivalent to the Skyline (a tad softer) therefore I would use that as the more accurate comparison, making the Skyline more expensive (as you would expect).
Anyway, the Skyline is far better value as a grey import (and I looove it sooo much).