I went into the building during the "House of Pleasure" level, and it won't let me leave. The game freezes on the loading screen whenever I try any of the doors.

I have this issue as well.

Hello,
same problem for me. It's not possible to exit from the main door of Dr.Galvani's office. Freeze.

Many people, like myself, are experiencing the same problem. One of Bethesda's community managers is already aware of this problem and answered in this theard:
http://www.gamesas.com/topic/1415776-game-freezing-at-loading-screen/