At the outset let me say I am completely opposed to any sort of roof penetrations. They are gateways for water damage and mold.

That being said, if there is still a desire to consider penetrations by individual shareholders, you should first look to your proprietary lease. In most PL's the roof is a common area so all the terms of transferring common areas to exclusive shareholder use need to be followed. In addition I would consult with the board's attorney to see if there is any language which can be included in the transfer such that the shareholder holds the co-op harmless if any sort of damage is a result of the penetrations. If you can make that a condition of transfer I bet the shareholders will think twice about assuming that sort of liability.

My building specifically prohibits any sort of roof and outer wall penetrations. There are central A/C units where the compressor can be mounted in a (non-fire-escape) window. As Ned said. skylights pose their own maintenance problems and should be avoided.