IMO it was the ambient noises that started when you first got off the boat and into the real world, it really led to in depth immersion. Oblivion has some noises to be sure, but they just lacked that same air of aliveness.
The second thing that I missed terribly was the fog. I realize that fog was just a convenient loading barrier, but it really gave a sense of discovery, you never knew what might lie ahead of the fog.
The final thing I missed was the dust storms. Seeing NPCs covering their faces to avoid the weather while stumbling through limited visibility just seemed really cool.
-Disclaimer- The mods have seen fit to throw my previous thread into the Morrowind forums because it wasn't "relevant enough", this is a similar thread looking for feedback from the community on their favorite features in Morrowind that didn't make the cut into Oblivion. The goal of this thread is to help improve SKYRIM. This is not a Morrowind thread, please mods, actually read through a thread before you give it the movehammer.http://www.gamesas.com/index.php?/topic/1178107-favorite-part-of-morrowind-that-oblivion-lacked/