If anyone played Nehrim, the main city of Erothin was seemlessly added into the world and you could wander from wilderness into it fine.
And it was a giant city on an island with a huge bridge you had to cross to get there. It was absolutely magnificent.
I didn't like Oblivion's system at all, really. It could work sometimes, but it was such a cop out of finding a better system. I really hope Skyrim's is better. It would be cooler if the gates opened as we approached and we seemlessly walked into the city.
That's true, but Nehrim takes a lot of power and RAM. My computer is quite powerful and can easily run Oblivion at highest settings, but Nehrim does lag in the main city. It would be harder to achieve this for large cities on the consoles.
Nonetheless, I do hope at least most of the cities are open. From the look of screens and concept art so far, it would appear that Markarth and at least part of Riften are open. Markarth has to be, it's in a canyon, so you'd be able to go over the borders and you don't want that sort of glitch like when you go over the walls in Oblivion. Also, at least part of Riften is open to the water, so that must also be open.