I've been playing since Daggerfall, and I think you have done a decent job on this front but your series is now friggan huge. You are in the big leagues now and you can match Blizzard on this front.
Morrowind Collector's Edition was nice, in fact I think it was better than Oblivion because you got...
-soundtrack cd
-Ordinator miniature (very iconic, I still love those guys)
-artbook (adequete for its time, but really pales compared to days 200 page hardcover cloth bound bonus by Blizzard)
Oblivion was not as good on this front.
-Pocket Guide was awesome and worth the extra $10
-no soundtrack cd? Huge mistake in my opinion
-no artbook (again, its time for you to give us the 200 page hardcover clothbound like Blizzard)
-pewter coin. It's ok I guess, but something much more iconic like the ordinator is what you need for Skyrim. How about a dragon miniature?
For Skyrim, I am sure I am not alone in thinking you need to make the ultimate collector's edition. I'd gladly pay they extra $30 or $40 so that you can make a quality package like Blizzard does.
1. soundtrack cd (not download) with artwork (digipack, mini-vinyl sleeve, or jewelcase)
2. hardcover artbook. clothbound. 150-200 pages, with dust-jacket
3. cloth map (Elder Scrolls NEEDS this)
4. iconic miniature that represents Skyrim. it's looking like a dragon will be your choice here.
As for merchandising, I think you should consider licensing Elderscrolls out to become a pen&paper RPG. Elderscrolls would be perfect for that!
Love the Oblivion hoody I got from you 5 years ago! More of that would be nice as well!
Please consider these ideas rather than the run of the mill CE that everyone else does. $10 extra for some crappy making of DVD that you will only watch once, and alternate cover, and exclusive horse-armer are not worthy of Elder Scrolls!