So, if I get Skyrim on a PC and connect a controller (like an Xbox 360 controller) will the anolog sticks still be anolog? In other words, will I still be able to control movement speed and lock pick pressure in an anolog fashion?

I have heard that on PC there are only two speeds of travel, walk and run. On an Xbox, you can vary your rate of speed quite a bit by varying the pressure on the anolog stick. This helps with sneaking because you can move veeerrryyyy slowly. The same thing works with lock picking, so with a light touch, you can get two or three wrong guesses out of a pick on a master lock with low lockpicking skill.

Anyone know if it works the same way if you connect an Xbox controller to your PC?

Using an Xbox controller literally switches the interface, controls and movement to the Xbox version of the game. It's identical to playing on a 360, anologue movement included.

Cool. Thanks!