Dunno about exploding heads.... unless it was a magical exploding arrow- normal arrows just tend to make nice, linear holes through things. They don't expand and shatter like bullets can. What I would like to be able to do though, along the lines of locational damage, is hit them in the leg, and see them hobble or go down on one knee, and remain hobbled for the rest of the fight. They could swing melee weapons at you (with no power hits) if you got close enough to let them- but that's it. Shoot them in either arm, and it becomes unusable. If they are only equipped with a 2H weap or bow, that's it, they'd have to run or get killed. Headshots would be 50% extra damage. Stuff like that. At least for human enemies, and lower level monsters. Things like giants, draugr deathlords... they'd have to be made of sterner stuff and harder to seriously cripple, or it would be too easy to disable them.
I wasn't even referring to the exploding heads thing. That's just stupid. What I was talking about was exactly what you were describing. Wouldn't it be cool to say, hit a bandit in both knees with arrows, and just leave him to the wolves? Or disable both of an enemies arms, preventing them from attacking with their full potential?
The problem would be balancing. Games that incorporate that stuff have you fighting tons of goons at a time and you're using, ya know, a gun.