I have both. I guess it depends on what you prefer: do you want a huge world full of side-quests and visual depth or do you want a game geared towards story. Get Skyrim if you prefer the first, Zelda if you prefer the second.
This isn't to say that the story in Skyrim is bad; quite the opposite. However, the main story does tend to get a little lost in the clouds while you complete everything else. Zelda, on the other hand, is largely story driven, and I'd say from playing the opening setup that it's the best Zelda game since Ocarina of Time. Plus, if you get a Wii Plus remote, the conrols are INSANELY GOOD. That said, since I bought Skyrim first, I'm going through it before heading over to Zelda (though I did play Z a bit to see how it was).