So this is what I found so far ;
http://www.overclockers.com/forums/showthread.php/775067-Stock-6700K-unstable-temperatures
https://forum.teksyndicate.com/t/solved-big-temperature-fluctuation-on-i7-6700k-4-6ghz/100049/20
It appears that Skylake CPU tends to have a really high base VID (around 1.42 V !) and Vcore.
(As reminder VID is the voltage CPU wants but no necessarily needs and Vcore is what it actually gets)
As a consequence, each time you're doing something or a background app is running, your CPU draws a massive amount of power for a few seconds and temps sensors are going crazy.
The" fix " seems to manually tweak the vcore using offset mode inside the BIOS to keep it cooler.
This is the only logical assumption I could come with so far. Besides there're a lot of people reporting this particular issue with different setups but same CPU. I might be wrong, maybe we just got faulty ships or crappy coolers, bad BIOS or softwares, honestly at this point I don't really know.
Not to mention that all this stuff is relatively new (Skylake has been release almost a year ago) so we're currently lacking of datas about potential issues. No doubt that more changes and further answers are coming though, so I'll try to be patient...