I've no idea if this is a common issue or not, but using "override application settings" in the graphics card settings works for other games but not Skyrim.

The performance hit from the in-game settings is significant enough to prevent me using them.

For reference: my graphics card is a Nvidia GT 420M; it's built into my laptop.

My GTX 460 anti-alising override works for Skyrim, though mine isn't built-in to my PC.