This inspired an idea for a mod--what if both my characters could occupy the same world? Obviously, they could never interact with each other (because when I'm playing as one I can't also be playing as the other), but what if their actions could effect each others' stories? The simplest example might be if I kill an NPC with my assassin, then they would also be dead for my mage. But it would also extend to quests, so that beginning a quest with one character removes it as a possibility for the other. Any significant consequences of a quest would effect both characters' worlds. In principle, several save files of different characters could be integrated, so that a player may have several concurrent and interlocking stories in Skyrim.
Different people could even link their save files online. While they would never see each other in-game, the consequences of the other player's actions would be felt in their world.
I have no idea whether this is feasible, but someone ought to do it. Me? I play Skyrim on the 360, because my PC is crap. I wouldn't be able to enjoy this mod even if it existed, but I figure it's an idea worth sharing anyway.