If you're playing a thief trying to rob buildings in one of the big cities in Skyrim, I'd say that could easily qualify as constant loading.
It never bothered me all that much, but the visible changes due to loading cells in the background always bothered me, when exploring the landscape.
Granted, the problem was severely reduced in both FO3 and Skyrim (Morrowind and Oblivion are horrible in that way), but if you open your eyes and look at the paths ahead, you'll still see obvious popping when primitive meshes are being replaced by actual objects with detailed textures.
However, Skyrim has a lot of narrow paths through woods and mountains, so it's not as noticable as when you're exploring the wide open areas - like near Whiterun.
But it should be said that Skyrim has a LOT of interaction, with sophisticated physics. Keeping that many containers and potentially dropped objects visble - from a distance - would be all but impossible to manage on something like the last gen consoles, with their tiny memory capacities.
To me, the best examples of streaming content in a large open RPG are still the PB games. GTA V is also very impressive, but it's not as interactive as a "true" RPG.
TW2 had some odd loading screens when going through gates and doors, and their claim about having no loading screens simply didn't hold true.
But, based on what I've seen of TW3 - they've finally managed to get rid of it.