The equipment slots from Daggerfall or at least Morrowind.
Levitation, Jump, Climbing (but better implemented)
Repeatable quests
option to give advantages / disadvantages to the character at the beginning

I would really like another quest involving Umbra. Always thought that was cool.

Dear Santa:

More immersive Travel Services like boats and carts
More skills (Medium Armor, Unarmored, Short Blade, Long Blade, Axe, Staff, Enchanting etc)
More diverse Enchanting options where the player can mix and match different enchants on weapons/armor/etc
Spears and Crossbows
Separate Pauldrons/Gauntlets
The ability to wear clothing under armor
Cloaks/Capes/Hoods
Less Levelled rewards/creatures/npc's
No Glass/Ebony/Daedric wearing Bandits
Handplaced loot/relics/artifacts to stimulate exploration
More diverse texture sets for dungeons/caves
Fitting loot in ancient burial mounds/Falmer ruins (no modern day loot and Septims in ancient locked Ayleid Reliquaries)
More voiceactors for the different races (not only 1 actor for all the elves etc)
More diversity among the races (make Bosmer females cute and elf-like again instead of looking like square-jawed Bretons with pointy ears)
Advantages/Disadvantages a la Daggerfall
Village building like Raven Rock
Armor stands/Mannequins/Display Cases/Weapon Racks (that actually work)
BEARDS! ...and tattoos

:)