Crime has been altered from Oblivion to represent the fall of the Empire.
Each of the individual 9 major town factions now track their own crime statistics of the player. The player can have a bounty in one of the towns but be unwanted in the others.
When captured the player still has the option of paying a fine, resisting arrest or going to jail:
Resisting arrest is actually a viable option in Skyrim because unlike in Oblivion if the player is successfully able to kill any bystanders to their crime then the bounty is removed. This allows players to commit assault or murder in front of a guard and if they can kill the guard then they may be able to wipe out their bounty.
If players choose to go to jail they are given a lockpick similarly to Oblivion. The lockpicking system is quite similar to that in Fallout 3/New Vegas. This mini-game requires players to angle the lockpick in a particular way and then spin the lock around until it unlocks. If the pin is in the wrong spot then it will wobble and eventually break. If the player breaks the lock they can walk out free.
If the player chooses to wait they now no longer lose several points from their skills. Instead their progress in some skills is set back to zero. Bethesda Softworks has not provided a reason for this.
That last bit should probably be modded out ASAP, but then again you can just type modpcs (skill) (amount) on PC. Scream with rage if you want this changed before launch, it's pretty late in the development cycle.
Here's the link: http://www.skyrimnexus.com/content/features/changes.php