Well, it's not about load times for me, I'm thinking about how it ruins any chances for Levitation or a "Jump" spell...
that's not really a big deal though...
Todd more or less confirmed a while ago in an article that levitation wouldn't be in the game. He joked about it by saying it would cost 4000 Microsoft points I believe.
While separate cell cities isn't that big of a deal, it does break immersion somewhat. CD Projekt Red was able to avoid this issue with The Witcher 2, since they are only on PC, so everything is seamlessly loaded in the background.
As long as Skyrim doesn't feel as empty and lacking in culture as Oblivion did, I will be happy regardless. The cities will still be massive, and I'm sure they will be worth exploring, regardless of their isolation from the rest of the province.