Your mileage may vary and this is done at your own risk.

I haven't tried the game without this yet, but with it, once I press New Game or Load Save it loads in 2-3 seconds. Please post your results if you try this.

This is mainly for those with 6 to 8GB of RAM or more, and who aren't installing Skyrim on an SSD. Using a ramdisk will make Windows see part of your RAM as a harddrive. Installing most of the game files on a ramdisk should decrease loading and access times, which should eliminate stuttering and speed up loading.
Step by step instructions further down.

I believe you need Windows 7 or Vista for the mklink command.

I used the following free product (the only limitation is up to 4GB ramdrives):
http://memory.dataram.com/products-and-services/software/ramdisk
Using it, I created a 3GB unformatted ramdisk. I also chose to save the image on shutdown, and load it on startup - otherwise you will need to repeat the copying and junctioning process every time. I then went into Computer Management - Storage to format the disk as NTFS with a 32k cluster size, as a larger size will speed up loading even more as the files are all large.

I then chose which Skyrim files I wanted to copy to the ramdisk. You can find the files in Steam\steamapps\common\skyrim\data\. I copied all of the .bsa files except for two to the ramdisk. I didn't copy Skyrim - Textures.bsa as that is loaded to the video card memory when the game loads anyway. I didn't copy the Skyrim - Voices.bsa as I wouldn't have had enough room on the 3GB drive, and I think the other files will be used more often. I also backed up the .bsa files just in case.

I then created a batch file with the following command:
mklink "E:\Steam\steamapps\common\skyrim\data\Skyrim - Animations.bsa" "S:\Skyrim - Animations.bsa"
for each of the .bsa files. You will need to change the drive letters and directories to suit your system. I deleted the .bsa files that I'd copied from the Skyrim directory, then ran the batch file. This created file links to the ramdisk so that Steam will think the files are still in the Skyrim directory; however they will be accessed from the ramdisk so it should be much quicker.

Instructions:

• Download and install the free version of DataRam RAMDisk at http://memory.dataram.com/products-and-services/software/ramdisk
  
• Open RAMDisk Configuration Utility
  
• Set the Disk Size to 3000 MB (or whatever size you like up to 4092MB; make sure you leave at least 3 or 4GB for Windows though)
  
• Make sure Unformatted is checked
  
• Go to the Load and Save tab and tick Load Disk Image at Startup and Save Disk Image on Shutdown
  
• Press Start RAMDisk
  
• Click on your Start menu and enter diskmgmt.msc into the search field
  
• Initialize the disk, right-click the available space and choose to Format. Select NTFS as the file type and 32k as the cluster size.
  ***make sure you've chosen the correct disk to format!***
  
• Go to Steam\steamapps\common\skyrim\data\
  
• Copy the following files (or whatever will fit if you've used less than 3000MB) to your newly formatted ramdisk:
  
  • Skyrim - Animations.bsa
    
  • Skyrim - Interface.bsa
    
  • Skyrim - Meshes.bsa
    
  • Skyrim - Misc.bsa
    
  • Skyrim - Shaders.bsa
    
  • Skyrim - Sounds.bsa
    
  • Skyrim - Voicesixtra.bsa
  
  You may also wish to back these files up to another folder somewhere.
  
• Delete the above files from the Steam directory
  
• Create a txt file anywhere and paste the following lines into it:
  

  mklink "E:\Steam\steamapps\common\skyrim\data\Skyrim - Animations.bsa" "S:\Skyrim - Animations.bsa"mklink "E:\Steam\steamapps\common\skyrim\data\Skyrim - Interface.bsa" "S:\Skyrim - Interface.bsa"mklink "E:\Steam\steamapps\common\skyrim\data\Skyrim - Meshes.bsa" "S:\Skyrim - Meshes.bsa"mklink "E:\Steam\steamapps\common\skyrim\data\Skyrim - Misc.bsa" "S:\Skyrim - Misc.bsa"mklink "E:\Steam\steamapps\common\skyrim\data\Skyrim - Shaders.bsa" "S:\Skyrim - Shaders.bsa"mklink "E:\Steam\steamapps\common\skyrim\data\Skyrim - Sounds.bsa" "S:\Skyrim - Sounds.bsa"mklink "E:\Steam\steamapps\common\skyrim\data\Skyrim - Voicesixtra.bsa" "S:\Skyrim - Voicesixtra.bsa"

  
  ***You will need to change the drive letters to suit your setup***
  
• Save the txt file as a .bat file and run it.
  
• Go to the RAMDisk Configuration Utility Load and Save tab and choose Save Disk Image Now
  
• All done. The above files should stay in your RAM even if you restart the computer.

To reverse the process:

• Delete the .bsa files from the Steam directory (the files that you copied to the Ramdisk - they're all labelled as shortcuts and will be 0 bytes in size)
  
• Copy the .bsa files from the Ramdisk back to the Steam directory
  
• Press Stop Ramdisk in the RAMDisk Configuration Utility.

Pretty interesting. Did you get significant performance gains from doing this?

Well, as I wrote above:

I hadn't tried this with Oblivion if that's what you meant, but I thought I'd try it with Skyrim now as I have 12GB ram.

I'm going to get a 32gig high speed usb flash drive for this job, it's slower than ram but a lot faster than HDD, once the files are copied I won't have to concern myself with copying again, unlike ram which will lose it's data if you turn off the pc.

The program linked above automatically saves and loads the image file upon shutdown and startup, so the files are permanent for all intents and purposes.

Great stuff.

Yeah, I forgot to add, I like using hirez texture mods, 3 or 4 gig of ramdisk will be too small, my Oblivion data folder is 11gig with mods.

I have 12GB, so would it be possible to have all 7gb on ramdisk and only run it with 5gb?

Sure, but you would need to purchase the program for $15US to allow greater than 4GB ramdisks. I'd suggest trying out the free version first.
Edit: Although you may be able to create multiple 4GB ramdisks and split the files up; not sure if it's worth the trouble though.

I'll certainly do that. Haven't experimented with this before and am curious what kind of performance gain we're looking at

I guess one needs only the textures on RAM. Sound should be okay to stay on HDD. What do you think?

Yes, I'm interested in people's experiences with this, as I haven't tried it myself yet.

Hmm this sounds interesting, how easily reversible is the process if you want your ram freed up again tho?

You'd just need to delete the .bsa files you've linked in the Steam Skyrim folder (they're all labelled as shortcuts) and copy the files back from the ramdisk to the Steam Skyrim directory.
Edit: And of course "Stop Ramdisk" in the ramdisk configuration utility.

One more question. Is this essentially creating a partition? If the files stay on even after restart, is the allotted RAM unusable? Or is it only in use when skyrim is running and the files are being used?

I'll be interested in hearing how well this works. I'm using a SSD myself. Is there any way to do a benchmark comparison between the two? It seems like directly accessing everything from system memory would be faster than even a SSD.

Yes, the allocated RAM is unusable for anything else. That's why you need spare RAM to try this.

I'll try it out when it unlocks and post my findings

I don't think it's necessary for textures to be on RAM, as they would already be copied to your graphics card RAM. I chose to copy the meshes, animations and sounds, as they are accessed all the time as you travel around.

I'm doing this, but since I have 16GB and the premium version of the software, I'll put the whole game in a 8GB RAMDisk.
I have a pretty fast SSD that benchmarks around 550MB/s, while the RAMDisk, using the same benchmark program, scores around 5GB/s.

Should be amazingly fast, though I admit that having such a large RAMDisk could be a PITA on reboot.
If I don't feel the game having REALLY fast loading times, I'll go back to the more simple solution and put it back on the SSD.

Ramdisk (From February 2010) http://img508.imageshack.us/img508/6505/ramdiskbench.jpg
Vs
OCZ R4 (best ssd in the market right now) http://ssd1.thessdreview.com/wp-content/uploads/2011/09/CDM_0FILL-300x272.png

Unless there is some type of USB flash drive I've not heard of, they really aren't all that fast. Could you link one of the flash drives you're thinking of?

A new HDD today is about 130 - 80 MB/s for the best models, and 80 - 40 MB/s for the older or "green" models. Not sure you can beat that with any regular USB flash drive?

The game is now unlocked for Australians. Once I selected New Game it loaded in 2 seconds - seems like the ramdisk is working well.

Those were my findings after playing for about 2 1/2 hours.

Ram DDR3 @ 1452 Mhz

I did some checking, usb flash drives are only faster with smaller files(4k) using random read/write, it's why it was chosen for readyboost, unfortunately not suitable for this kind of thing where the files are 100s of mb.

OT:
I've currently created a 10gig ramdisk, copied the entire skyrim folder and archiving the originals for safety, if I get it working I'll report back on the results.