The load times in The Elder Scrolls V: Skyrim on Xbox 360 are rather lengthy, and Bethesda have issued a couple of tips for those who are frustrated. First of all, installing the game on your hard drive will help, but clearing the cache is also advised:
"Skyrim makes heavy use of caching to the hard-drive, and the initial load could take more time if the game is not fully cached already, or installed to the hard-drive."
"Caching takes place over the normal course of gameplay, but can be cleared by playing other games or manually cleared in the Xbox Dashboard. Save game load times could also potentially take longer if the cache is cleared."