I did! I think I even wrote a Notebook entry about it here haha. Yes, I think it's a good idea, especially with Skyrim! If your level is good enough to turn the subtitles off - do it, it's almost like living in another country (I know what I'm talking about). Try not to pick up all the mediaeval slang you'll hear (or at least try to differentiate between dated expressions and something you can use in everyday life). I failed miserably in this regard, be smarter than I was. And, of course, don't take an arrow in your knee :)
Eh, I'm absolutely delighted I'm not the only one here who tried (or thought about trying) Skyrim for learning a language. Good luck to you!