Rather than navigate with the compass, learn the valleys, mountains and regions by heart.. sometimes I pop open the map just get my bearings, but for the most part navigation is easy. No crosshair? you only really need that for archery... and archery with no crosshair is much more instinctive, it actually requires skill from you the gamer, rather than a statistic. No NPC names, building names? Well knowing NPC names isnt that much of an issue, and most shops can be identified by the signpost outside. No heallth/magic/stamina meters? since they all recharge you'll be fine. Battles are a lot more intense when you dont know how much health you have.
And finally to no item names. This is the most difficult to let go.. ie not knowing what potions are scattered over a table, what books are on shelfs etc.. but ultimatly looting everything you come across is itself not neccessary... I RP it like how does my character know whats in every random bottle he comes across?
If you want immersion no HUD is where its at.. plus the obnoxious level up messages no longer appear. Its not at all difficult to play with no HUD considering Skyrim is not a difficult game to begin with.
If you want more immersion, play with no music and play on expert (I find master unfairly hard to the player)

each to their own though.