I've been playing around with different alternate starts and I think I've found my favorite. Here it is.

1. Create a file called 'naked' with no file extension. Add the following lines to it:

player.removeallitems
showracemenu

2. Put this file in your Skyrim game directory (in the same place as TESV.exe).

3. In your Skyrim.ini file (in My Documents -> My Games -> Skyrim), add the following line to the [General] section:

SStartingCell=AbandonedPrison01

4. Save the Skyrim.ini file.

5. Start Skyrim. The load menu and starting cinematic are bypassed. You'll start in the abandoned prison as a level 1.

6. Open the console and type 'bat naked'. Close the console and customize/name your character.

There you go. You stand naked in the prison with no armor and no weapons. Time to learn to survive.

Note: The main quest never starts using this method. You'll have to manually start it later, if you want to do it.

Enjoy!