I had a few issues with Morrowind, (apart from it being my first RPG, probably not a good choice) one of which being the lack of any clearly defined main quest. (Which oblivion fixed nicely) The other being that if I was out in the middle of nowhere, I had to hoof it back to a city, draining my health potions and dieing about 70% of the time since I just went through a dungeon. Whereas, with Oblivion, after I powered through a dungeon, emerging with only two health potions left, I could just go right to the city I needed to go to and not worry about rationing my health potions. Which meant I could more quickly move to the next quest and get further immersed into the characters and world.
That being said, I WAS kind of saddened by the fact that I couldn't rent a carriage in oblivion, and being more accustomed to RPG's at present time, I would likely opt to use the more "Realistic" way of fast traveling, but at the same time, dieing only because I needed to go through the dungeon and use my health potions, felt like a kick in the balls. So I'd like the option of some kind of fast travel after clearing out a massive dungeon.
As well as the ability to have different kinds of fantasy mounts. Fantasy mounts are fun. Like Horses, some kind of dragon, some water creature. Or even the ability to own and drive a carriage or boat.