I noticed this too,goto your my documents/games the blah blah skyrim open up the SkyrimPrefs.ini press cntrl F and type in mouse then next it should highlight..... MouseHeadingSensitivity=0.0900 change whatever yours says to this one 0.0900 higher is faster turn.
Thanks a lot

Ive got skyrim via steam, and since all gamefiles are installed in steams directory, i also editted the SkyrimPrefs.ini in the steam directory, which didnt have any effect
changing the exact same file in my documents/games did work
