This is kind of sad but I've actually spent more of my Skyrim play-time doing the whole intro rather than actually playing the game. --- i'm in here lookin for the next top model but tonight we're drinking from the bottle
This actually happened to me on my very first playthrough -- what made it worse was that I thought "Maybe I have to get to a certain point before the game lets me save manually" and just kept going.
I finished the intro, most of Bleak Falls Barrow, and got killed at the end. Since I had no saves to reload to (Even autosaves didn't go through) the game just kept spinning around my dead body. I had to restart.