I like the closed boarder idea, but without unkillable guards. Have killable guards who are either just way too highly leveled to kill or make it so you can't climb past the gate even if you do (like 50 foot wall or something).
The only problem with natural landscapes preventing leaving is how would anyone get to Skyrim or leave? I don't mean the PC, I mean anyone? It wouldn't make sense.
That's a good question and very relevant as well, as in the story in Skyrim, we are taken when crossing the border into Skyrim, and thus becoming a prisoner. I googled it and it says we were crossing the borders illegally (not sure if this is true, but the other part of crossing the border is true; it was been mentioned before by either Todd or magazines).
So how did we cross the border? It could be through a dungeon. It could be that we climbed mountains which were easier to climb from the other side of the border. It could be that there was a guard garrison.
In Skyrim though... does this really matter when we actually play the game? What matters is that we want a border that is as immersive as possible.
It should make sense and still hinder us from leaving.Seeing how Skyrim is actually completely surrounded by mountains, I therefore think that unclimbable (steep) mountains would be a good idea. If there is an opening through the mountains, then perhaps a big guard garrison (like a guard-wall, which can't be passed through either... like a huge locked gate).
In the cold ocean up north, swimming way too far out should kill us (because of the cold). Not even a Nord should survive freezing cold water for a long time (they're cold resistant, but definitely not cold immune
)
I think that makes sense, and effectively hinder us as well.