The town guards make for some very interesting interactions this way. Need to get some help from the city guards to vanquish a foe? Run toward the gates and the guards will do their duty while you can seek safety within the walls. Ever wanted to ride your horse into the center of Riften? Well now you can. The added immersion and realism goes a long way, probably a lot more than you might think.
Open Cities Skyrim is a comprehensive project that aims to bring back at least part of the feel of Morrowind - specifically how most of the cities were a natural part of the world and you could just walk in without loading screens.