Edit: I neglected to ask if you are on a PC, or a console. PS3 console suggestion at the bottom (I am not very familiar with Xbox).
Assuming that you are using Steam on the PC, you can try verifying and repairing the locally installed files.
- Fire up Steam
- Locate Skyrim in your games list
- Right click on the game name and select Properties
- Click the Local Files tab
- Click "Verify Integrity of the Game Cache ..."
If this doesn't help you, you could also try checking for errors on your hard disk using Scan Disk, in the event that you have some file corruption. This may or may not recover the damaged files but it's worth a shot.
There are two ways to access Scan Disk. I'm going to assume that you are using Windows 7 and that your save files are on the C: drive, if not, enter the drive letter that the files are on. Steps will vary slightly for Windows XP / Vista.
Via command prompt:
- Click Start and type: cmd
- Type: chkdsk c: /r
- Windows will ask you if you want to run check disk on the next book, type: Y
Via Windows Explorer:
- Open Computer
- Right-click on the C: drive and choose Properties
- Click the Tools tab
- Under Error-checking, click "Check now..."
- Check both boxes and click Start
- Windows will prompt you to schedule the disk check, click the button already
Suggestions via Bethesda forums:
Restore File System. Attempts to repair all areas on the hard disk drive where files can be saved. Corrupted data may be erased, which can help performance.
If you choose not to enter Safe Mode, you can manually delete corrupted saves within the XMB menu. Go to Games>Saved Game Utility. Within the menu, delete any corrupted save files. These files can be created from Skyrim and other games when a game doesn’t save properly (shutting down the console before an autosave completes, etc).
Rebuild Database. Will help with memory fragmentation on the PS3 HDD. Note: Using Rebuild Database will erase messages, playlists, changes made on Information screens, trimming information for pictures in Photo, video thumbnails, video playback history and video resume information. The content that is erased will not be recoverable.