It's a nice touch. Did Morrowind and Oblivion have something similar where you could see Skyrim, since those games both take place in provinces that border Skyrim? I've never actually played those ones before.
Morrowind no, since you played on Vvardenfell and were surrounded by ocean (although I think one of the expansions might have taken place in Skrim, not sure though).
In Oblivion you could actually traverse the northern mountains and find places where you could look north to Skyrim (and northwest to Hammerfell for that matter), though there wasn't really anythnig to see, just trees, grass, and maybe some mountains.