I would like to see TES V make your choices in the game, how you handle certain situations and what choices you make throughout the game have an actual impact that ripples throughout the storyline of the game. Choices which aren't just simply "good/evil" like in many rpgs, but rather choices that are just in the grey.
For those that played The Witcher they did this part of the game great. Your choices actually felt like they had a large impact on the world, and the consequences of your actions might not even be known until much m uch later in the storyline (so you couldn't simply save, make the choice, then reload if you didn't like it).
I'd really like to see Skyrim have something similar. Make you feel lilke what choices you make, even on some small sidequest, could actually matter down the road in someway.
Imagine for example, you are starting out in the game and you come across a wounded guy on the side of the road. He asks for your help, but he admits he was wounded because he was stealing someones horse. Now if you choose to help him, later on down the road you end up coming across a murder scene on the city streets, and you see the same guy you helped who had just killed a guy. Likewise you can make the choice to not help him, in which case he dies. Then later on you end up getting attacked while traveling and find out it's the guys brother, who tracked you down and blames you for his brothers death.
So see, it's not a simple "good = good, bad = bad," evne doing the right thing (helping the guy) can still lead to something unexpected happening, just as in real life.