1. Reduce or tone down the specular maps. Seriously. Aside from areas near bodies of water and after rain/snow, not every other rock and piece of wood in the game should have that plastic sheen to it.

2. Increase direct lighting in dungeons. One thing I disliked about Oblivion's dungeons is that there were relatively few actual light sources to be found. Many of the rooms, especially in Ayleid ruins, are illuminated by a bizarre nondescript "glow" emnating from the center. These are nice for dramatic effect, but then you realize the dungeon textures were all basically greyscale and then the developers lazily colorized them by slapping lights everywhere. The crypt screenshots in Skyrim don't seem to suffer from this problem too heavily, but it's still somewhat noticeable. There should be areas in dungeons of near-total darkness, and other areas well-lit by torches, lanterns, and candles like in Morrowind.

3. Reduce ambient lighting. Morrowind's interiors are some of my favorites across the Elder Scrolls series, because they have a very dim, "sleepy" feel. Why's this? Because hallways are dark and evenly lit, and areas of interest such as bars are very wildly lit and inviting. No more dramatic sun rays emnating through every single window as in Cyrodiil, please!

4. Make everything look more "jagged". Don't misinterpret me on this, I'm not asking for lower poly models. However, one thing I disliked about Oblivion is that everything looked very "inflated" compared to Morrowind. Suits of armor, whilst very angular and "Greek god statue"-esque in Morrowind, are all very bulky in TES IV. I've heard these referred to as "pajamas" and "fat suits" by other players. You can notice this in masonry, too - the walls, fortresses and castles in Oblivion - they have sort of a "cake icing" look about them. I hate this from the bottom of my heart.