Aside from the excellent but expensive collector’s edition, Skyrim didn’t come with any kind of world map. Fear not though, a site called GameBanshee has you covered.
The site has created a fully annotated map of Skyrim which shows all locations. Obviously, if you’re still enjoying the exploration and uncovering locations for yourself then you won’t want to look too closely at this but for those who need a little extra direction, the huge PNG is available through the source link at the bottom.
GameBanshee has also put together a printable, nine-page PDF which has the map pop out of your printer ready to be assembled as a giant 3×3 wall map that you can take with you on your next excursion into Skyrim.
Update: It appears that all editions of Skyrim did come with a map. That’s what I get for using a promo copy and trusting my Googling skills for pack in information! Thanks to just about everyone in the comments for correcting me.