IIRC, your character in daggerfall can fall through/walk through walls or dungeon pieces and nearly anywhere. (IIRC) It's a problem that gets worse the faster the game runs. In dosbox, you can throttle the game down to i guess 10-20 fps and it is much harder to fall through things. I think there is a cheat command, alt-f11 (someone who has this fresh in mind is bound to show up in case i am making mistakes) that teleports you back to the last place you were standing before you fell into the void, like people call it. That doesnt always work though since you can get teleported back close enough to fall in again, but it can help.
It can save lots of trouble to save the game very often.
Here is a thread with other things that might help : http://www.gamesas.com/bgsforums/index.php?showtopic=1013070