Let me start by telling everyone where this idea came from: While playing through some of the quests in Oblivion (namely the Anvil Mages Guild quest and Two Sides of the Coin), I would hear the back stories involving traveling merchants moving from one city to the next. Of course, these back stories involved the merchants either being killed or robbed by some random moron and, much to my disappointment, that moron couldn't be me. At the same time, I could easily be the Grey Fox and steal an Elder Scroll. So I got to thinking. Since traveling merchant caravans can be found making routes from one settlement to the next in Fallout: New Vegas, how about using that mechanic in Skyrim, but drastically expanding upon it. Here's how it would work:
You would have a number of traveling merchants going from one town to the next with either a stock of goods or gold (randomly selected) in their possession. The amount of wealth their haul consists of will be determined by a mix of chance and player level. The merchants can be killed, and if this occurs, another will take their place on a normal respawn rate. Once the merchants arrive, they disappear into the town for 24 hours to get new stock and resupply, then they are off. (They won't literally disappear, they stay at a random hotel, but killing them will be completely worthless.) The merchants will be able to provide services coinciding to their trade. (Weapon and Armor traders will repair your gear, Magic traders can sell spells and charge your enchanted weapons, ect.) As the amount of wealth the merchant carries (either in various goods or sweet sweet money), their protection is proportional to their wealth. You can see where I'm getting to...
The player will have the option to raid the caravans. If the player has no regard for for the lives of the merchant and his armed guards then he can simply kill everybody and take all their loot. However, some player may not like killing the people they rob. For anybody that liked adhering to the Thieves Guild rules, than a new perk must be introduced.
If the player achieve a certain level of skill in speechcraft and/or a weapons skill (or possibly even having enough strength), then they can take a perk called Highwayman. (The perk system was announced for Skyrim, so this can be sweet) The Highwayman perk would allow the player to have a new dialog option with these caravan merchants that would allow them to try to scare the merchant into surrendering their stock to you, with him and his guards cowering in fear of you. The more loot the merchant has, the more protection they have and the more confident they will be. Therefore you will need to have a certain speechcraft level to successfully do this. (This could barrow off of the speech checks that you had do constantly do in Fallout 3.) Failing the check would propose a new choice for the player, they can try to take the caravan down or they can accept to be "held", where a bounty will be placed on your head and a guard is spawned to haul you away to the dungeon of the nearest town. You can, of course, resist arrest when the guard comes, but the caravan will join in on the fight.
Another part to this will be random tax shipments leaving each town for Skyrim's capital, with another, larger shipment heading south for Cyrodiil. These shipments will be filled to the brim with nothing but gold and random gems. With well trained guards escorting the tax shipment to their destination. These will always leave towns once per week and will only head to the capital city and one really big shipment leaving once per month to head to a border checkpoint into Cyrodiil. The guards here will be very tough to take down, and the Taxmaster (who would take the merchant's place in this case) would be extremely tough to scare. Of course, this would be a high-risk, high-reward situation. Tax shipments to the capital would contain possibly a thousand gold in early levels, and the shipment for Cyrodiil worth enough to buy a house. A mini-quest could be undertaken to find a contact with Skyrim's treasury that would allow you to buy a small map showing the route of all the next tax shipments to take place allowing the player to plan their route and not have to aimlessly chase the tax shipment all over Skyrim to find and ambush them.
When player loots either merchants with nothing but gold or tax shipments, they don't actually find a sum of gold on the body, but an item marked "Package of Gold" when opened (equipped), the package will add a random amount of gold to the player inventory, based on the players Luck. Different versions of these packages will be made and assigned to the various caravans regarding their level of protection.
Depending on the wealth, the merchant may have pack-horses and mercenaries traveling with them the pack horses will contain portions of the merchants loot, and the mercenaries will attack anyone that engages in combat with the caravan. Depending on the amount of loot the merchant has, he could be by himself, or have up to 3 pack-horses and 6 mercenaries with him, including up to 2 mercenary captains. The captains would be more seasoned fighters than the normal mercenary guards and put up a tougher fight. Of course, the mercs would have level offsets so the game stays completely leveled verses the player.
I hope you all think this is as awesome as I did, and I really hope the design team catches wiff of this and likes it. If it doesn't find it's way into Skyrim, than I'll probably do it with the Skyrim Construction Set when it comes out (hopefully).