Just play with the DID ( dead-is-dead ) playstyle and ruleset... Die once, die forever. No loading last save. Any difficulty, and NO god-mode.
I'd rather have an official game mode for it:
1st - because then you can have the player graveyard thing (where you can see all your past failed attempts in all their glory, maybe even share them) which actually requires a change to the game itself (and it'd be much cooler than just having a written list at home/web). It could be very visual, something skyrim is great at.
2nd - Its something i imagine would be difficult to accomplish via a mod using the creation kit, as it affects things that aren't normally altered. So if it isn't done officially i imagine it simply won't be done at all.
3 - Although i know i'm not cheating if doing it via the honor system, i can't tell if other people aren't, and they can't tell that i'm not. If it were an official mode, people could still cheat, but it'd be more of a pain and few would bother. Maybe could even use the steam cloud thing for the 1 save to prevent cheating (in this mode only of course).
4. It could then be modded by fans to even greater detail/depth. Like Nethack, you could run into the ghost of one of your prior playthroughs, and he has all the skills and gear you had when you played him, and he's trying to kill your current character. And again, ya can't just honor-system features like this into the game. Maybe make it so you have to identify potions/items before you know what they do, eat corpses to get intrinsics, etc.. All sorts of good roguelike features.
that being said, even w/out any official way to do it, i'll just do it as suggested on my own, and have great fun doing it, but it'd be so much more fun w/an official mode or at least support in the editor for such features to be added by fans. So barring official support for a roguelike hardcoe mode, then consider this a request instead for support in the editor so that such an alternative save-game/death system could be made by fans.