The arena in Oblivion was very fun and I enjoyed playing through it. You could be a gladiator!

But in Skyrim, there is not one, which is strange as I think it was a good addition and they should have had one in Skyrim. Skyrim, where people LOVE to fight and get drunk, yet the only place that happens is in a tavern in Skyrim! An arena, where the Nord Heroes test their skill and courage in battles to the death!

I think a place like Whiterun, Markarth, Riften, or Windhelm would have been a good idea.