When using a fire spell, tap the button for a burst and hold for a flame. I'm excited about this because it gets rid of the need for "on touch" and "on target" spells. Instead, you decide of it's going to be touch are target. This little addition has me excited.
Also excited about runes. Coming from Call of Duty I started up Oblivion the other day and all I kept thinking was "I wish I could set a trap behind me" (like claymores in CoD).
I'll also be excited to see the improvements to stealth. Too often in Oblivion you'd hit someone with a bow while sneaking and the enemy would be alerted. No matter where you hid it seemed like the enemy always ran right toward you. I got excited when I read an article and Todd said that hitting someone in stealth mode would alert them (a la Fallout 3, whose stealth system I had no problems with). I can't wait to repeatedly sneak attack my foes.
Any small features that you guys are excited about?