In Oblivion I owned all the house, but none really stood out. I guess I used the Anvil house for the first part and Rosethorn Hall later on. I would like the ability to take over houses if you killed the owner (i.e. Blackwood Company in Leywiin, Umbacano's house).
I also would not have minded owning a property like Roland Jenseric's Cabin.
Another option in houses I would like is the ability to display items more easily. Like in the museum of artifacts in Morrowind. Where you click on a display case/table and you can choose which item to store. So that the items stay put/appear more organized.