I've played a heavily modded Oblivion on my Mac Book Pro in Boot Camp
Despite what the Windows-obsessives will tell you, it is perfectly feasible. I got perfectly acceptable frame rates even with texture packs installed.
That said. I tend to play on my PC, which I have optimised purely for gaming (my Macbook is for 'work'). Also playing a decent and large monitor is more immersive than the screen on my Macbook.
But, yeah, it can be done. And I'll certainly give it a try with Skyrim - just to see how it plays