Save every 10 mins. Learned the hard way. I was about 40 minutes into a dungeon when I performed a killing blow (one that does the cutscene animation) on a Falmer that was in his hut.  The animation dragged my character into the hut.  The problem is, the door to the hut is too small to walk through, so my character got stuck in there.  Damnit!

The last autosave was only about 15 minutes behind, but I had picked a master lock and killed about 20 guys in that timeframe.  :/

I wish there was a quicksave function on the PS3.