Immediately run out and buy it.
Then I would wait eagerly to find out what the company works on next.
Unlike what seems to be a lot of people, I like it when a company rolls out new IPs. I like to experience new game worlds and stories. Too many developers get stuck in a rut of just releasing the same franchise over and over. It's hard to innovate in that situation.
So, would I be sad if Skyrim was the final Elder Scrolls? Yes, but I would feel more excitement than sadness because now BGS would be free to begin and develop a new franchise.