One can not deny that one of the biggest strengths of the Elder Scrolls lies within exploring the huge wide open worlds that the games are known for, as Todd says "if you can see it, you can go there", yet at the same time one cant deny that the open world aspect of the games are also one of its biggest weaknesses. The Developers can only make a world so big and in making the world open you have a smaller area to play with in placing the various towns, locations and points of interest, sure this is not so much of a problem in a game set around a smaller area such as a small town and its surrounding area or a city however considering that the game world in Skyrim is supposed to represent an entire province the world just got a whole lot smaller. Lets take a look back at Oblivion, look back at the towns and more specifically the Imperial City, not quite the sprawling metropolis one would expect from the capital city of the Empire, even the siege of Bruma felt more like a schoolyard brawl than the epic battle scene that the developers probably wanted it to be, compare it to the Boletarian Palace in Demon's Souls, while you may not have the freedom to go where ever you want if you look over the edge you will see a huge city below you, while you may not get to explore all of it it does give off the feeling that the world is so much larger than just what you can explore.
Now before you start I just want to make it clear that I am not suggesting that Bethesda should change the open world aspect of their games as it has been a core part of the Elder Scrolls experience and no matter what you choose each method of handling the world the game is set in has its advantages and disadvantages, I merely wish to open up a discussion about the merits of open world vs seperate cells.