I honestly hope Skyrim will be a pure singleplayer, but there is one thing from multiplayer games I have never experienced in Oblivion - to be fear of death.
Once on one (RP focused) persistent server of Neverwinter Nights, I undertook a hazardous voyage to one of dungeons far from a city. I have got seriously wounded and was sneaking back. I had no healing potions left and all my applicable spells were used up. It was night, the city was far away and I didn't know the region well. I heard howling of werewolves from near forest, I found a clawed tree... Damn that was horrifying. And mostly because I knew that I can not save the game, I can not even pause it. I just had to continue playing or log out (but it would tell me that I died after logging in).
When you die, it is not over of course, you will respawn. But you will loose some valuable amount of experience and all money. I know it can not be implemented in that way in a singleplayer game. It would be also pretty lame if you were not able to stop the game whenever you want to. But if there were some way how to evoke that fear, it would be great.
There were sometimes public events on that server - lots of PCs and NPCs on one place and everyone played quite responsible - more realistic. In Oblivion it would be like: "Hey, save it and try what happen if you shoot that king to the head!" (Almost) no one would ever try it if it was irreversible.
The ability to save-and-load makes everything possible - you can break any lock or beat any creature - just by trying it again and again and again... Sure you do not have to do that - it is your singleplayer game and it is just up to you how you play it. But, at least for me, it is sometimes hard to resist. And what can you do if you die? You have to load and try it again.
I just want, you know; "Do or do not. There is no try."
I have been saying this about games but mostly about MMO's. Take World of Warcraft for instance, and I use it because a lot of gamers here have probably tried it, in WoW when you get killed it is nothing but a bit of inconvience because you respawn at the graveyard with all your gear and money.
The very first MMO I played was Ultima Online, way back in the late 90's when it first began. In UO when you were killed by another player they could loot your corpse of everything except a few essentials like your spell book and your rune book (for teleports). Also if you happened to have your house key on you they could use your key as a recall stone, gate to your house and loot it of anything that was not locked down as well.
You quickly learned that it was far better to use crafted gear because it was easy to replace and more importantly you could keep a few extra sets of gear in your bank just in case...
In a game like UO was back then it really mattered when you died and the PvP fights were amazing, edge of the seat affairs, and it felt like your heart was about to beat its way out of your chest and no game since then has been able to even come close to giving me that feeling, except for some of my NWN multiplayer experiences like you had....