Apparently all of the games that are based on the Gamebryo engine have a format string vulnerability in the console. It looks like it would be easy to DoS those games: http://www.gironsec.com/blog/2013/05/exploit-in-skyrim/

You guys might want to fix that.

They have no network facilities, so one would do it by way of downloading stuff. In other words, the delivery is no different from any standard virus and is not really a big deal here.