I've found the longer I play (overall, not per session) the heavier my overall CPU load is getting. I'm using a 2500k @ 4.6 so it's fairly potent. I've also got a pair of GTX 570's in SLI and they don't really work that hard @ 1920x1200.
One thing I will say thought, Skyrims engine-level AA is RUBBISH. It doesn't work effectively and it's resource heavy. I disabled both AA and AF and instead tweaked the Skyrim profile to allow me to override any game setting. Now I use driver level 4x AA which is far far better than game level 8x AA visually, plus it boosts FPS too.
Note: to do this you MUST change the Skyrim profile settings using the NV Inspector tool to allow overriding of AA. If you don't do this the profile will attempt to Enhance the AA (even if your tell it to override) which will cause problems.
Still, there is some sort of resource leak going on the more hours I put into the game and saved games are near double their original size - though I'd expect that, whether it's "right" or not I don't know.
Generally however I've not really had any major issues - three CTD's (random, not repeatable) over many many hours of play. Pretty good really. I have of course seen the Giant space programme bug, levitating Mammoths and a few other amusemants...

Scoob.