The good news is there's almost always some way out of every predicament--that's a great part of what makes the game so much fun. On my first play through I must have played about 3 months straight with a single save game slot, and although I was trapped in certain dungeons a lot longer than I'd like to admit, eventually there was always a solution, and my character's life went on. Definitely something I missed in MW and OB.
Anyway, good luck in your adventuring--there's no better game for getting horribly stuck than Daggerfall.