I would like to export our customer list, including any SKU's that were purchased. I can see how to export the customer list, but I can't figure out how to add in the SKU to that. Any thoughts?
If you need to export the list of customers who have ever made the purchase (not just registered ones) and SKUs of goods that were bought, you need to export order info.
In Magento exporting order to CSV you get only basic info about sale - order number, date of purchase, binning, shipping info, payment details and order status.
If you are interested in the extension, there is Store Manager for Magento application. Using its Orders Export of this tool you will be able to export to file the customer info + SKUs of purchased items (and many more order info).
Store Manager app is paid app, but you can do the task without fees with 2-week free trial version. It is fully-functional, so you can give it a try downloading it from the link in my signature.
Here is also the article on its order export possibilities -