We examine the dynamics of a skyrmion moving over a two-dimensional periodic substrate utilizing simulations of a particle-based skyrmion model. We specifically examine the role of the non-dissipative Magnus term on the driven motion and the resulting skyrmion velocity-force curves. In the overdamped limit, there is a depinning transition into a sliding state in which the skyrmion moves in the same direction as the external drive. When there is a finite Magnus component in the equation of motion, a skyrmion in the absence of a substrate moves at an angle with respect to the direction of the external driving force. When a periodic substrate is added, the direction of motion or Hall angle of the skyrmion is dependent on the amplitude of the external drive, only approaching the substrate-free limit for higher drives. Due to the underlying symmetry of the substrate the direction of skyrmion motion does not change continuously as a function of drive, but rather forms a series of discrete steps corresponding to integer or rational ratios of the velocity components perpendicular ( V ⊥ ) and parallel ( V || ) to the external drive direction: V ⊥ / V || = n/m, where n and m are integers. The skyrmion passes through a series of directional locking phases in which the motion is locked to certain symmetry directions of the substrate for fixed intervals of the drive amplitude. Within a given directionally locked phase, the Hall angle remains constant and the skyrmion moves in an orderly fashion through the sample. Signatures of the transitions into and out of these locked phases take the form of pronounced cusps in the skyrmion velocity versus force curves, as well as regions of negative differential mobility in which the net skyrmion velocity decreases with increasing external driving force. The number of steps in the transport curve increases when the relative strength of the Magnus term is increased. We also observe an overshoot phenomena in the directional locking, where the skyrmion motion can lock to a Hall angle greater than the clean limit value and then jump back to the lower value at higher drives. The skyrmion-substrate interactions can also produce a skyrmion acceleration effect in which, due to the non-dissipative dynamics, the skyrmion velocity exceeds the value expected to be produced by the external drive. We find that these effects are robust for different types of periodic substrates. Using a simple model for a skyrmion interacting with a single pinning site, we can capture the behavior of the change in the Hall angle with increasing external drive. When the skyrmion moves through the pinning site, its trajectory exhibits a side step phenomenon since the Magnus term induces a curvature in the skyrmion orbit. As the drive increases, this curvature is reduced and the side step effect is also reduced. Increasing the strength of the Magnus term reduces the range of impact parameters over which the skyrmion can be captured by a pinning site, which is one of the reasons that strong Magnus force effects reduce the...