Skepticism and an interest in Buddhism shows up in many of Robert Anton Wilson's writings. After reading a mention of the Greek Skeptic philosophers in Chapter 6 of Quantum Psychology, and a mention of the Greek Skeptic philosopher Pyrrho in a recent blog post at Overweening Generalist and looking up Pyrrho in my Oxford Classical Dictionary, I remembered reading a review in Bryn Mawr Classical Review of a book arguing that Greek Skepticism was derived from Buddhism. The book is Pyrhonism: How the Ancient Greeks Reinvented Buddhism by Adrian Kuzminski.
The reviewer, Jerker Blomqvist, regards the thesis as interesting and plausible but not quite proven: "Undoubtedly, Kuzminski raises an important question regarding the ancestry of Western philosophy. He records an impressive number of parallels between Greek and Indian philosophy, and in particular his analysis of the analogy between Pyrrhonist/sceptic ataraxia and Nagarjuna's 'emptiness' is notable. However, analogies, similarities, parallels or whatever you will call them are one thing, concrete proof of influence and interdependence is another. We do not know enough about the contacts between Greece and India in order to make the interchange of ideas a proven fact. Explicit references in the preserved texts are missing and, unlike durable artifacts, ideas leave no traces in the archaeological remains. Traveling between the two regions obviously did take place. It is not unlikely that it had an impact in the intellectual sphere too, so, like genuine followers of Pyrrhon, Sextus and their adherents, we have reason to continue searching (skeptesthai) for reliable knowledge in these matters. Kuzminski's book points the way."
Pyrrho and other Greek philosophers apparently accompanied Alexander the Great, whose army reached India.
Blomqvist notes that while Kuzminski's book was the first in English to posit a connection between Greek Skeptical philosophers and Buddhism, two previous books had argued for a connection, one in Romanian and one in French.
Here is a publication at Project Gutenberg on Greek Skepticism.