According to this forum post, in Windows 8, the saves are still stored in the same place as Windows 7 (i.e. C:\Users\[UserName]\Documents\My Games\Skyrim\Saves), however the saves are now marked as hidden files.

To unhide the files:

• Open an Explorer window,
• Navigate to the Skyrim folder
• Press the 'View' tab
• Check the 'Hidden Items' checkbox

Locating saves on PC/PS3/XBox for Skyrim

Building on AndyPerfect's and Robotnik's answers, the save files for Windows are where they said. I added the rest.

PC

Windows XP

Skyrim puts saves in the following directory in Windows XP:

C:\Documents and Settings[UserName]\My Documents\My Games\Skyrim\Saves

Windows Vista/Windows 7

Skyrim puts its saves in the following directory in Windows Vista & Windows 7:

C:\Users\[UserName]\Documents\My Games\Skyrim\Saves

Windows 8

According to this forum post, in Windows 8, the saves are still stored in the same place as Windows 7 (i.e. C:\Users\[UserName]\Documents\My Games\Skyrim\Saves), however the saves are now marked as hidden files.

To unhide the files:

Open an Explorer window, Navigate to the Skyrim folder Press the 'View' tab Check the 'Hidden Items' checkbox showing the location of the 'Hidden items' checkbox

PS3

On the XMB, goto the "Game" tab and then the "Saved Data Utility (PS3)" tab.

Inside you can find all of your saves and can copy and edit them by pressing Triangle.

XBox 360

On the XBox, saves are usually found on the HDD, but could be found on USB's too. (If you use them)

See here for below tutorial.

From Xbox Home, go to settings, and then select System.
Select Storage.

Select the storage device that contains the content you want to copy, move, or delete
(or look at):

• Hard Drive: Your console’s hard drive.

• Cloud Saved Games: Storage space on our Xbox Live servers. For more information, see Store your saved games in the cloud.

• USB Storage Device: A USB storage device, such as a USB flash drive plugged into your console. To learn more about USB flash drives, see USB flash drive support for Xbox 360.

• Memory Unit: A memory unit plugged into your original Xbox 360 console.

Then simply head on down to the Games & Apps section of your choice and your save will be in there.