Oh DUDE this just happened to me I was so terrified!!! Nothing worked, I tried restarting, reloading, shutting off the system and everything but none of it worked!
Except all you have to do is save your game, then reload a save before you have the arrow in you. For me, I had none except for the autosave at the very beginning of the game... is that something that is automatically put there for every one? Anyway, just save your current game then go back to a save without the arrow and reload your current save. Voila. Should be spick and span!
Lol ^^ Pain in the ass... literally? TES games always remind me of Shrek when I see people walking around after an archery fight: "There's an arrow in your butt!"
Mine was in my left shoulder right under the neck... case you were wondering.