Save whenever I want, where ever I want, but dying shouldn't always lead to "reload you save -.-", it could for example work like this:
You get guards after you, you resist arrest and try to fight them of, only to get badly wounded "dead". You end up straight in jail, or if you had the money to pay for your crime on you, in addition to assault and resisting arrest, you could be found in the chapel, taken care of by the healers there. This would only be realistic, I mean is there really only to possibilities: To walk and be alive or be dead? Why can't we pass out and awake in a situation that would seem realistic? It would add so much to the game, imagine getting "killed" by bandits, some other explorer could come and rescue you where you are tied down, freeing you and returning you gear to you, some might get lost on the way but hey, that's the fee for dying
Getting killed by a hungry greature however would cause your death, permanently. Or if the bandits just feel like it, they could dismember your head, causing you to having to re-load the old fashioned way like in Morrowind and Oblivion.