Of course it could be brighter, but that certainly won't make the game better. This is not WoW or Oblivion. Have you ever looked around in real life? I'm so glad the devs have a different taste than you have, otherwise we would have another fairy-tale game with blue Dunmer and over-saturated lighting.
I know, that's a exaggeration, but I just want to say the "dullness" of the colors match the cold and gritty theme of the game. The story and setting are less fairy-tale like and the graphics reflect this very well.
And that's why it looks more like a painting than real life?
Sorry, but I get the feeling it's you who hasn't looked around in real life. Take a look at this photo: http://www.flickr.com/photos/gmrack/1302536407/lightbox/
You can see that while the Skyrim colours match the background well, the foreground is much more saturated. That's because the background loses saturation due to haze. Similarly here: http://www.flickr.com/photos/knutyd/3101512/lightbox/
In http://www.flickr.com/photos/lee_seung_kye/5855797487/lightbox/ though the washed-out look is even further in the background. Given that the reason for it is haze, it's obviously dependent on the weather, the presence of major bodies of water such as the Fjord in the second pic etc....