From the screen comparisons I've seen online the X360 seems to have better shadows, while the shadows on the PS3 seem blocky and pixelated. I'm guessing that the X360 has better anti-aliasing.
The textures on the PS3 however seem to have more color depth however while the X360 seems to have a better black level/contrast ratio. (The TV or monitor can probably be adjusted to optimize this for each platform)
I haven't seen the water effects in Skyrim yet, but looking at other PS3 games that have water effects (especially the ones made specifically for the PS3) I know the PS3 normally does a great job at rendering it.
Hopefully both platforms will receive future patches and optimizations so we can all have the most optimal gameplay experience on our respective platforms.
