Skyrim is a great game (in my opinion), but no, I wouldn't call it a simulated first-person world to the extent of something like Arx Fatalis. It's the abundance of little atmospheric touches, the small interactions with the game's objects and inventory for example, that is lacking.
I remember a puzzle early on in Arx: You had to get some sort of gear-based elevator to work again. My memory is a bit hazy, but I think you had to "fix" a piece of it by replacing a broken piece of wood. Then you needed a rope. Pretty simple, right? Nothing ground-breaking there. However, the actual interaction of putting the elevator back together is what made this otherwise mundane mini-puzzle come to life.
Opening up the inventory without pausing and dragging the objects into place was an attempt at making it seem like the player was really "feeling" the objects in the world. And that's just one tiny example from really early in the game, right after you escape your prison cell. By itself, it's just a small, simple touch. But when all these tiny interactions with the game world (mixing the ingredients for the laxative pie comes to mind) are added together, it makes a world of difference in adding immersion.