This is my idea:

We have Iron, Steel arrows etc.; all exactly the same with different damages. How boring, right?

What I propose is that we have at least 3 different types of arrows for each material.
.Standard.
.Armour Piercing, (Negates variable amount of Armour Rating but slightly decreased damage)
.Hunting (Bleeding damage or increased damage but multiplies enemy armour rating)

Standard arrows would just be, as you'd expect, a normal arrowhead. Armour piercing would be clean cut and very sharp and straight. Hunting would be either a frog-foot design or very jagged.

Additionally, arrows should have weight. Heavier arrows do more base damage, but have a higher drop and lose more damage over range. Lighter arrows fly further, losing less damage at range, but are less accurate, however they are also cheaper.

Also, there could be other types of arrows:

. Light Arrows (Illuminate the area they make contact with).
. Rope arrows (Shoots a rope that can be used to drag objects or to climb with)
. Drenching arrows (arrows that do negligible damage but put out fires and torches with water, and also soak enemies, making them slower, prone to frost damage, but more resistant to fire)
. Echo Arrows (Makes a very loud sound upon impact, attracting enemies from further distances)
. Explosive arrows (I think you can work it out)

This would apply to bolts too.

The same would apply to bolts.

Very nice idea I only got a problem with the Drenching and rope arrows mainly cuz the physics for the rope and climbing it most likely wouldn't work and the drenching arrows sound a little bit useless, Good idea overall though.

I would like to be able to enchant arrows or get enchanted arrows like in oblivion but I think that they would be overpowered due to being able to apply four effects to a target in one shot with just enchanting and even more than that with alchemy.

If they did add any of OP's suggestions they would probably have to add the ability to craft arrows as well, which I would be cool with.

I like your ideas. Especially the echo and explosive arrows. These ideas would be great for a sneak archer.

I have a mod, I think its Tytanis's supermod that includes craftable arrows ( 1 steel ingot + 1 iron ingot + 1 firewood = 20 steel arrows) and also arrows with elemental damage, like to make frost arrows its 20 steel arrows plus frost salts.

Also, there is another mod and some lines in an .ini file that you can make your arrows go much further and and dip a lot less in flight.

PC-only, of course.

Similar to the ammo in Fallout: New Vegas. Unfortunately I was never one to really use the differences too much to my advantage, but I'm sure there are a lot of people who did in that game, and would in Skyrim if it were available.