My final moment of disillusionment with Skyrim was on first entering Solitude: (minor spoilers follow)
I enter town, and I see a crowd gathering in front of a platform. I know something is going on, though I had no idea what. Was this scripted, or something organic? I reflect on how cool it would be if you could just walk in on events like this, and find myself a barrel to stand on to see over the crowd. Turns out it's a public execution of a Stormcloak sympathizer... oh boy! I decided I'd put a stop to it, since I'd more or less been supporting the Stormcloaks cause... though they offered no game mechanics that really let me do that, I'd just been role-playing my alchemist/archer character as an ally to them, after being stiffly dicked over by the Imperials during the opening.
Anyway, I see the headsman, 2 Imperial officers, and the Stormcloak member on the platform, and take stock of my inventory. I find a few bottles of home-brewed Paralysis Poison... though it's usually way more efficient to just stack damage effect after damage effect in the game (killing is pretty much the #1 method of plot advancement), I kept them around, just in case I could do something cool like this! I poison my arrows and the daggers with the stuff, and after they finish their execution spiel and the headsman readies his axe, I peg him with the poison, and he falls like a rock. Leaping from the barrel and to stage, I pull out the poisoned daggers and hit the first, and then the second officer too. They fall, the crowd panics, and the Stormcloak Rebel and me see an opening, and make a break for it! It feels great... I just reacted naturally to the circumstances, and finally got a chance to think outside the box to solve a conflict, which I'd really been missing in this game so far!
I follow the rebel until we are safe, hoping to talk to him once he calms down. He ascends a staircase and finally pauses, and I move closer to talk to him, figure out what he knows, and maybe make a plan to escape. Before I can start a conversation, he promptly says Generic NPC Greeting #12... and then falls over dead for no reason. Apparently, his death was a linearly scripted event, to start you off on yet another fetch-quest involving his grieving widow. They hadn't considered I would do anything but sit and watch him die like a good cutscene-viewer, and then start their fetch-quest by looting the beheaded corpse the Imperials inexplicably left on stage.
Needless to say, it completely shattered my roleplaying experience, frustrated the hell out of me as a gamer, and ruined the first hope I had for the redemption of the game. Unlike its predecessors, Skyrim is not a sandbox fantasy adventure; it's 100 different railroad tracks, each with different start and end points, which you can choose to ride.
If you need me, I'll be reinstalling Morrowind.