A well written, and I mean well written with a well balanced story, book that can cover the 200 year gap between Oblivion and Skyrim. An art book as good as Fallout 3's was, now that was a beautiful art book with some great pictures. As good as the Symphony Of The Night art book.
A map would be good I guess. Bonus DLC, and not horse armour, but something really worthwhile, maybe an inherited gift from your character in Oblivion, like a weapon or armour or something.
A little cuddly toy dragon, why not? He/she would be a cute companion while exploring in the game.