Save early, save often.

Yeah, it annoys me when this happens, especially if you did loads between saving and dying, but not to the point of shouting in anger... and autosave actually does a pretty good job of saving you from this.
The most annoying thing that used to happen to me was getting owned by the bandit leaders at low levels (because of having low health)... you know the guys who had a full set of steel armour and a f*** off big hammer, and could kill you in a few hits? The only way to kill them was hit, retreat, repeat or use ranged combat. Or giants. Giants were seriously tough to kill at the lower levels.

But overall, Skyrim hardly annoys me anymore, just little bits of annoyance here and there.

No. Skyrim is like a relaxing massage when compared to CoD, Forza and FIFA, all of which swing from being awesome to making me want to eat my controller.

The worst reaction skyrim ever provoked is the classic 'I forgot to save whilst exploring the wilderness for hours' facepalm.