http://en.wikipedia.org/wiki/The_Elder_Scrolls:_Arena

"Arena is its tendency to be unforgiving towards newer players. It is easy to die in the starting dungeon, as powerful enemies can be encountered if the player lingers too long. However, this effect slowly withers away as the player becomes more powerful and more aware of the threats that loom everywhere. Even Ken Rolston, lead designer of The Elder Scrolls III: Morrowind, says he started the game at least twenty times and only got out of the beginning dungeon once."

That would explain why I never made it out