The Skyrim Wiki Forum's user Stabslash says, under What "Arrow to the Knee" Really Means:
When the guards in Skyrim talk, you will often hear them saying the famous saying, "I used to be an adventurer like you, but then I took an arrow to the knee. What this really means is that the guard got married. Yes, married. Let me explain to you.
In Nordic/Scandinavian countries, "taking an arrow to the knee" meant that you are getting married/already got married. It refers to when we propose, we fall to one knee, comparing it to when a man gets shot in the leg, he, of course, falls to one knee.
While this seems plausible, does "Arrow to the knee" truly signify "getting married" in the Nordic/Scandinavian regions?