I had a close look on the map in the G4 demo.

I saw, http://www.youtube.com/watch?v=MjbfLaOjgzg&feature=channel_video_title, just after a confirmation of Karthwasten, places that are called Morthal and Fort Snowhawk. Now I fear a new Sutch case. In oblivion, there was a place called Fort Sutch while the City of Sutch was supposed to be in Cyrodil but was omitted. Well, a city called Snowhawk is supposed to be in Skyrim. Look at the location table http://www.uesp.net/wiki/Oblivion:Whispers_of_Death. I fear now that this complete city could be replaced by merely a Fort. I hope I am wrong and there will be both a city and a fort.

I have made some research and here are all the places mentioned in previous games and that could be in Skyrim.

Amol, Amber Guard, Black Moor, Blind Fjord, The Crypt of Hearts, Dawnstar, Dawnstar Run, Dragon Bridge, Dragon Wood, Dunmeth pass, Dunpar Wall, Dunstad Grave, Falkreath, Fearfrost Caverns, Frostheim, Glacier Run, Granitehall, Greenwall, Haafingar (Solitude), Helarchea Creek, High Hrotgar, Hsaarik Head (in Skyrim’s Broken Cape), Ice Council, Ice Spike, Ice Tribe Haven, Karthwasten, Lainalten, Labyrinthian, Laintar Dale, Larvan's Stronghold, Markarth, Markarth Side, Massacre Caves, Nevgrad Watch, Nimalten City, North Creek, North Keep, Oakwood, Old Fort (with its huge irregular porphyry blocks), The Pale Pass (which possibly lies in Cyrodiil, though, and was in Oblivion), Pargran Village, Reich Corigate, Riften, Riverwood, Roscrea, Saarthal’s ruins, Slipneck Fjord, Snowhawk (In Oblivion, one mentions a small settlement just outside this city), Snowline, Stonehills, Sunguard, Troll Hole, Troll Pace, Vernim Wood, Whiterun, Windhelm, Winter Hold

It's debatable whether Snowline and Fearfrost should or shouldn't be in the game since they are in Hammerfell, but right on the border. All will depend on the evolution of Skyrim's borders after Oblivion's Crisis. Also, the two places related to the Ice tribe (haven and council) may have disappeared after the Ice tribe has been defeated by Dawnstar's troops.

From what I heard so far, it seems that the following ones have been confirmed.

Dawnstar, Falkreath, Haafingar, High Hrotgar, Karthwasten, Labyrinthian, Markarth, Markarth Side, Riften, Whiterun, Windhelm, Winter Hold

Am I wrong with it?

The two following ones also appeared : Dunbarrow Cove and Bleak Falls Barrow.

Have you news about the other places? Are there other places confirmed in Skyrim? Other that appeared during the demos?

Have you found other places mentioned in previous games and lore that I have missed?

Do you also fear some "à la Sutch" or "à la http://www.uesp.net/wiki/Lore:2920,_Second_Seed_%28v5%29" omission?