Oh, glitches.
Prettys sure everyone's see this at least one, but sometimes you get mammoths, cave bears, etc. inexplicably falling out of the sky.
I once saw a dragon who refused to fight me and didn't die when I took away all of its HP, didn't react to Bend Will, etc. Lydia just stood in front of it, taunting it, but didn't attack or anything.
Sometimes for me Shouts go into a permenant state of recharging so I can never use them.
Can't remember exactly which dungeon it was, but I found an invisible wall preventing me from going down a perfectly wide side path once.
Body parts, usually heads, clipping through walls in third person. I know no 3D engine is perfect but it's kind of funny to look at.
Similarly, sometimes if you walk into things like cheese wheels and boots from certain angles they'll go flying across the room way faster than they should have.
Game failed to give me a Daedrif artifact once, screwing me out of an achievement. I think it was the Dawnstar nightmare one, don't remember anymore.
Lydia started chasing and attacking me for no apparent reason once.