For Adam and Eve, this was the first time the first couple witnessed death. Innocent blood spilled to cover the consequence of their sin. (Romans 6:23)
“Unto Adam also and to his wife did the LORD God make coats of skins, and clothed them.” (Genesis 3:21)
Recently someone asked me a very interesting question: “Did God use human form to sacrifice the first animals, or was that done spiritually, without a body?” Of course, this is one of those questions for which we cannot give a definitive/authoritative answer. The problem is that the Bible does not provide enough detail for us make an assertive statement one way or the other. Consider our text above: “Unto Adam also and to his wife did the LORD God make coats of skins, and clothed them” (Genesis 3:21). That is it. That is all we have to go by. Anything beyond that is pure speculation on anyone’s part.
However, having said that, I believe that God took the form of the pre-incarnate Christ and performed the sacrifice before them – in their sight – so that they could witness for themselves the price or cost of their sin. Some innocent animal’s blood had to be shed in order to cover (atone for) their sin. Since they had never killed anything or experienced death in any way, they had to see how this was done in order for them to continue the practice. That they continued the practice is evidenced in the following chapter where Abel sacrificed a lamb from his flock (Genesis 4:4), while Cain offered “the fruit of the ground” (Genesis 4:3). Cain’s offering was rejected by God because it did not follow what God had prescribed in the beginning (Genesis 4:5).
This same practice of sacrifice was followed by Noah after the Flood (Genesis 8:20), by the patriarchs Abraham, Isaac and Jacob (Israel), and finally by the children of Israel after they came out of Egypt. I believe this practice of sacrifice was handed down, generation after generation beginning with Adam, and it was learned by the example given by the pre-incarnate Christ who would ultimately be the perfect Lamb of God.
Ernie's Musings 
Ernie,
If this was the case, and it was so graphic, what must it have felt like to them for them to wear those clothes?
It must have felt pretty nasty, I would imagine. It may have given them an inkling of how their sin appeared to God.
Something else I find intriguing is that the Hebrew word for “skins” is ‛ôr that is pronounced (I believe) much like the Hebrew word for “light” – ‘ôr. The former spelled with an ayen, the latter with an aleph. Could this be a play on words suggesting that Adam and Eve were clothed with “light” (‘ôr) and after the fall they were clothed with skins (‛ôr)?