Okay so I just started playing skyrim today, and so i was walking along in the field and then i found these bandits. They killed me. I layed out there, dead, thinking it would just send me back to the nearest town or whatever. But no. So, i did what most gamers would do at this point: Start hitting buttons. The only one i could hit was start, and so i was gonna load my game. But there were no loads! I quicktraveled back to whiterun or whatever, and so now im dead in white run. WTH. What should i do?

You have no savegames prior to your death?
You should always save a lot.

If you dont have any saves, all you can do is start with a new character.

If you quick traveled somewhere you should have a autosave, there should also be an autosave from when you first started the game.

Thats odd that you have no saves. I know for sure there is a save (not an autosave, an actual save) right before character creation. Leaving the dungeon when you are supposed to head to Riverwood should have been an autosave. And entering and leaving most cells gets an autosave too I believe. Maybe you disabled autosaving?
As for the quicktravelling to Whiterun while dead, that's without a doubt a glitch.
Edit: Spelling

Welcome to Skyrim...save often

Enable autosave.

Save manually often.

If dead with no saves - start a new game.

I save manually every 5 min max, game crashes at the worst times, like right after a long dragon fight. right in the middle of a long dragon fight, after ive just walked halfway across the map after forgeting to save...DERP

When you die it should automatically start loading a previous save. Must be a weird glitch, or you fiddled with some code you shouldn't have (if you're on the PC, but since I'm on 360 I don't know if that's possible). It should autosave every time you go through a door, wait, or fast travel. Save manually frequently as well, sometimes you can't trust autosaves.