Both the PS3 and the Xbox360 versions of Skyrim suck.
The Xbox360 version had big texture steaming issues, resulting in super-low res textures. Installing the game fixed the problem for many. PS3 users under certain Skyrim patch versions also got similar low res texture problems.
The Xbox360 version has fugly dithered shadows. The PS3 version has ugly flat looking shadows with flickering issues.
Load times suck for both. The PS3 users were able to mitigate the issue a bit by turning off auto-save, which sped up loading times.... to a point that I'd still consider completely unacceptable on my PC.
If both versions are running without texture problems, the Xbox360 version of Skyrim looks sliiightly better due to a better AA method being used. The PS3's method caused a little more blurring.
PC users had the typical huge amount of bugs associated with a Bethesda game... but the modding community had it handled almost immediately.
So.... it's just my opinion here, but playing Skyrim on anything but PC is doing it wrong.