The smithing skill is used to make a multitude of different armor, bows, maces, axes, etc. Even though you can make different kinds of bows.. you cannot make arrows. it would make sense that you could.. you can find many many different kinds of arrows during the game.. and buying arrows when you need them.. is very very very expensive. Plus the fact that people who sell them only have 60.. sometimes just one of a certain kind of arrow.. i havent played oblivion.. or any of the other elder scroll games.. so i could be posting this for nothing.. but i dont think it would be a hard thing to do.. chop wood for the shaft of it.. obviously use the kind of metal for the tips.. and maybe cotton or another item like it for the feathers on the arrow..
They need to add it to the game via hotfix or DLC.
A cool thing they could add with it are Arrow enchantments, where when making a set of arrows, you can enchant them.