This thread is amazing, because theres SOOOO many of these moments in Skyrim... its part of what makes the game special in a weird way, haha.
For me the biggest WTF moments are when I am sneaking around in an enemy base and see two enemy imperials up ahead...Don't wanna break sneak so I pull out my bow, kill one instantly and hit the other with an arrow. The survivor says, "Is someone there??" and half-heartedly walks around in circles with his sword drawn pretending to look for me. After 10-15 seconds, he sheathes his sword and says, "Huh. Guess I must be hearing things."
Ummm.... No man, you're not hearing things, you have an ARROW in you. WTF
Either that, or my horse sprinting VERTICALLY up the side of an icy mountain!!!!!