Is there any reason to not complete the game?

Question

Would there be anything in Skyrim where you wouldn't want to complete the main story? (Yes, I know the game continues after that)

Like something you can no longer access, or do after beating the game?

Answer 1

Nothing changes as a result of beating the main story line.

There are quests that become inaccessible as a result of your actions while playing (such as choosing to side with the Imperials or Stormcloaks), but none of them are a result of the main quests

Edit @Iszi brings up a good point in his answer regarding one choice that is required over the course of the campaign. It's not the part of the last quest, however, so you may have already completed it.

Answer 2

@DaveMcClelland is mostly right. However, this is one other point you should particularly be made aware of.

Through the course of the main quest, there is one development that will force you to eventually choose sides between two factions that you are otherwise allied to. Once you are presented with this choice, the services of one side will become unavailable to you for at least until the conflict is resolved. After you have made your choice, the services of the side you chose against will become (or remain) unavailable to you forever after. More details are below.

SPOILER ALERT!

If you haven't made it to the top of the Throat of the World, and met the Greybeards' leader, I strongly suggest you skip the first bit of spoiler text below.

In your pursuit of Alduin's defeat you will eventually meat Paarthurnax, the leader of the Greybeards. It turns out Paarthurnax is a dragon however, and this puts you in the middle of a conflict between your allies: The Blades, who are dragon slayers, will want Paarthurnax dead. The Greybeards still trust and revere him, and would like to preserve his life.

You cannot hide Paarthurnax's true nature from the Blades. At one point or another, they will discover this on their own. The longest you can hold out on this is until the peace treaty, and only by not talking to Esbern before then. If you wait until then, Esbern or Delphine will raise the issue with you immediately following the peace treaty meeting.

This next spoiler is just slightly "safer".

Once the Blades ask you to kill Paarthurnax, you will not be able to receive any benefits or do any side-quests for them until that task is complete. The Greybeards will still remain available to you unless and until you do kill Paarthurnax. If you kill Paarthurnax, the Blades will again be available to you but the Greybeards will no longer be so hospitable.

Repercussions of your actions are outlined below. I've made this as spoiler-free as I could, in regards to who is involved in this conflict, but you can probably deduce what isn't being said here. Otherwise, the list is pretty much cut-and-paste from UESP's article regarding this quest.

If you side with the aggressors:

- The pacifists will retract their hospitality. This will make it more difficult for you to discover the location of Word Walls.
- You will no longer be able to receive meditation bonuses to Shouts, from the target.
- The aggressors will welcome you once again, enabling the completion of associated side-quests.
- One of the aggressors will offer to take bones and scales in order to create a potion which grants a permanent perk for 25% melee damage reduction from Dragons (currently, however, the potion is bugged and does nothing).
- The pacifists will not host a peace treaty (if it has not already happened), making the Civil War questline mandatory to complete (if not already done) in order to proceed with the Main Quest.

If you side with the pacifists:

- The quest to resolve this conflict will not disappear until you expressly commit to this side via dialog.
- The pacifists will continue to assist you in finding Word Wall locations.
- The target will still provide meditation bonuses for Shout words.
- There will be an extra cutscene after Alduin's defeat.
- Open side-quests for the aggressors will remain uncompleted.
- You will not be able to have the dragon scale/bones potions created.