Here are a few essential places in Skyrim, minus the towns and cities:
Throat of the World (Hrothgar Peak)
The highest mountain in Skyrim and second highest in Tamriel (the first is Red Mountain in Morrowind, which is only a little bit taller). Nords believe that here, on the top of the mountain, the sky breathed onto the earth and man was formed. Hence, this area is a popular destination for Pilgrims. It would make a good setting for a quest in the Main questline.
Trollgard Mountain
The second most famous mountain in Skyrim and the third tallest. It is located in the northern reach of the province in the Haafinheim country, south of Solitude. There is an old cave within the mountain said to be the ancient home of an angry troll.
Labyrinthian
A large dungeon in east-central Skyrim. It is a colossal maze filled with mythical enemies that guard its endless corridors. The maze was built by the Archmagus Shalidor to hide a mysterious and powerful artifact called 'Glamoril' which means "The Secret of Life" in the elven toungue. This dungeon shall play a major role in the Main Quest along with the artifact Glamoril.
Sorcerer's Tower
The Sorcerer's Tower is an old tower located southeast of Snowhawk. It is home to the reclusive sorcerer Galameran Elethi. Galameran is rumored to know the secret to getting to Aetherius, the realm from which all mages draw their power.