Having an Oblivion-styled fast travel system is very convenient, but to me it always felt like I was teleporting. When you're playing a non-magic character this can be quite immersion-breaking.
If you kept the same system, but instead of a standard loading screen you saw a red moving cursor simulating your travel across the map from your current position to your desired position. In addition, a clock at the top would show how many in-game hours or days the journey took.
This way, it would feel as if you were travelling like in Morrowind, but at the same time have the convenience to move from anywhere at the map to a place you've been before, without having to walk to the nearest town.