I think what really has grated me with a lot of fantasy of today is that they try to make it too fascinating and they end up looking rather corny because of it. The Elder Scrolls games have been able to (mostly) avoid this with the extreme emphasis on scale but running it through a filter of realism. There is only to a limit that filter can go though, and thus I look to other games for the truly gritty fantasy that I love. Morrowind had its dark moments but I felt it was ruined by the "weirdness" that was put too much on it. People acted rather comically in a lot of situations and it ended up taking away from the serious plights. Oblivion I actually felt struck more to home, if only for the Oblivion segments which really added a lot of weight down onto what was to some a "generic" setting. I'm not saying one's ultimately better to the other in terms of story, merely that the truly dark elements were muted in Morrowind.
Around comes 2007 and I think I found one game that hearkens back to old fantasy without being incredibly ridiculous (ala Dragon Age). The Witcher was an extremely deep RPG experience held back pretty much only by budget limitations. Sound familiar? bliviongate: Well, it was pretty much the extremely rich fantasy that took itself rather seriously and thus I loved it all. Those who understand my signature can also tell that I'm a fan of Geroge R. R. Martin's A Song of Ice and Fire series which, by the way, is some of the most terrifying stuff I've ever read.
tl;dr: I like really dark fantasy. Whilst Elder Scrolls has slightly shifted away from it in most people's eyes, I can still see the light (the dark?) shining for it through the quirks of the games. Thus, we bring ourselves to the topic at hand: Skyrim, of course. It's incredibly hard to tell exactly what the mood will be set by the story at this point since we only know the bare minimum. What we know so far seems well enough and will continue to advance on the themes of Oblivion with its advanced technology. How much deeper do you think Bethesda's willing to take it though?
It's no like I'm speaking in terms that it should be like Mass Effect where every single possible ethical dilemma is shoehorned in the story and forces you to make a "right" and "wrong" choice, but more in terms of the environment. I'm fine with the basic "yes" and "no" options we are given when it comes to the quests, for now. The whole purpose of all this and the explanation I suppose is to ask what makes fantasy so great for you? I, personally, find that the only way fantasy can astound me nowadays is to scare me. If I am frightened due to the environment or possibly an enemy or some ominous note or whatever, then I give that game a big round of applause. I want the atmosphere in Skyrim to be dripping with dark undertones and make me as scared of dragons as I have been of demons. Could Bethesda possibly turn these creatures of extremely ancient, and some may say generic, mythos and have them make we the playerbase afraid by what they do?