I had no luck googling this, an addon called CurveTools has this functionality but it seems it is broken in recent Blenders.
How to create mesh between several curves?
I’ve not done it direct from curves but I’ve used the included loop tools add in to loft and bridge between mesh curves so I converted the curve object to a mesh first, there was a few problems with it on the 2.73 release but with the latest stable release it’s working for me if that helps!
If you convert curves (after adjusting resolution of course) to mesh, you could use mesh tools to do that. W -> bridge edge loops, adjust the options from the operator panel. Looptools addon has loft. If you want to use and keep curves, could use Bsurfaces addon to generate mesh between them. Nurbs curves has skinning but I wouldn’t use those.
If you just want to make tube-like structures, curve bevel and taper can do it on their own.
Thanks guys!