Saving in the Elder Scrolls games can be a serious hindrance to true difficulty. You are allowed to save your game virtually any time, anywhere and make multiple saves per character. This is good for most players, and I wouldn't recommend to remove it from the series. However, if you are truly going to play the game with higher difficulty what happens when you actually end up dieing has a profound effect on how you play your character.
Here are a few popular saving methods that could be employed:
Limited Saving Areas:
Games like the Final Fantasy series only allow saving in certain areas. So you couldn't save in dungeons whenever you wanted unless you were at a "save spot" or limited location to save. This made fighting in dungeons more difficult.
Dynamic and Static Checkpoint System:
Many games have used the checkpoint system in the past. Most of them use a system where you automatically save at certain checkpoints.
Few games use a truly dynamic checkpoint system that reacts to how you as the player are performing, but one that does this very well is the Halo franchise. How it works in Halo is there are certain static checkpoints that you reach where it forces a checkpoint. These however are usually not close to each other, and when playing on Legendary Mode (the highest difficulty) it is not uncommon to have 'hard checkpoints' be 20, 30 or 60 minutes from each other. The dynamic part though is really nice, it will give you a checkpoint if you have killed all of the enemies in a certain "wave" of enemies and there are also no other enemies around. The way this would work is if you have killed all the enemies in your immediate area you would checkpoint (and if you played Halo 2 or later with skulls on this is very important. Because if you died you always went back to a checkpoint whether you were in co-op or not).
Proactive Saving:
There are only a few games that have done this, and to implement something just like it in Skyrim might not sit well even for those that want a dynamic saving system. But the way this would work is, like in Diablo 2 or even Minecraft the game is always saving. So if you die you can't say, "well I can go back to my checkpoint", or "well I can back to my last save". Your only option is to press forward from there (and in past Elder Scrolls games there really isn't a way to return to your corpse so you it would be a classic "Game Over").
I know that this system won't appeal to many people. But what I am proposing isn't the idea that this would replace the old system, only have it be optional if there is a so-called "hardcoe Mode" implemented. Because when I see that people want a harder game it isn't just about adding harder enemies, its about how you feel when you die. If I know that I can reload a save game not 30 seconds from my death (as is so often the case with most of us) than the game isn't necessarily harder, is it?
Please post your thoughts and opinions, even if you feel they are not lengthy.