The last two characters we've gotten to play, the Nerevarine and Champion of Cyrodiil, are legenday figures, masters of dozens of guilds and factions, slayers of gods... pretty much the most powerful figure in the respective states. And yet there are few times when all this power comes in useful, usually to progress the main plot. I do remember one questline where the player's choices had some memorable consequences; the Raven Rock questline of
Elder Scrolls III: Bloodmoon. For those who don't remember, or didn't play it, the player was a new supervisor of sorts in the East Empire Company, responsible for assisting the development of a new mining colony. Over the course of the questline Raven Rock grew substantially, and the player had to make a few menial choices on which buildings to construct, who to recruit for the town watch, yada yada. But you also chose which member of the company to throw your weight behind, and the result was two memorable questlines instead of one, probably my favorite out of a great expansion pack.
Now Skyrim sounds like it has the trappings of a great game; an empire in decline, a king dead... why shouldn't the player be able to decide at least part of Skyrim's future? Perhaps the player decides to throw his weight behind an empire in need of a champion, or perhaps decides he should be king himself!
I understand that this would make continuity more of a challenge, but consider that the deeds done by the player in the previous games have been rendered inconsequential anyway, either by banishing the character to Akavir, or moving the timeline forward a couple centuries, so I think that shouldn't be a concern.