Try a game without a HUD that's first person, it gets you svcked into it sooo much more then something with random symbols all over the screen...you feel less like the terminator and more like an adventurer set into a reality of magic and dragons.
To prepare for Skyrim I actually tried this in Fallout 3 last night. I turned the HUD opacity completely off. All I have to say is wow. It's way more fun. Especially when you're in some metro tunnels and you hear ghouls... There is no compass to show you where they are! It's quite scary. Having no crosshair also wasn't that big of a deal, only took me a few minutes to get used to it and I was back to constant head shots.
It made me curious though. If we have no hud, are we still going to see what a object is when we highlight it? For example you look at a door and it says "Door to Outlander's house"