It was rather frustrating having to walk for 15 minutes in a huge circle all the way around some unnatural barrier they made just to get into a certain area, or having to go down into the subway in order to emerge in the proper place on the other side.
It was times like those when it started to feel a bit like a first person shooter, navigating through a controlled course to the next part of the story.
Oblivion was kind of the opposite end of the spectrum. You could pretty much walk in a straight line anywhere in the world.
I hope Skyrim's environment is somewhere in between. I don't want to have to be wandering around for 15 minutes looking for an "entrance" to an outdoor area where my quest is supposed to be taking me. (Edit: In other words, if I can't find a quest location on my own and I eventually cave and look at the marker on the map, I want to be able to get there at that point. Not be jumping around yelling, "It's right there! But these stupid cliffs are blocking my way in all directions and I can't find a way through!")
But I also don't want to be able to just press the auto-walk button and sit back while my character strolls all the way across Skyrim unimpeded, like in Oblivion.
Somewhere in between would be nice. Some good, unique landscape and terrain detail, but not enough to where you feel like the game is directing you exactly where to go.