Animations are probably the only thing that really bothered me in Oblivion.. FPS mode should feel like Mirrors edge or Call of Duty, and 3rd person mode should be kinda like Assassins Creed.
Water like Crysis!!!!
I'd want more of Mirror's Edge and Assassins Creed than COD. The player characters in COD move as if they have no weight behind them, but in ME and AC you get a real feeling of momentum and inertia.
The biggest thing for me would be improved character models, faces especially. After that, better designs for the weapons and armor, with a more realistic design for the crossguards being my main wish. From there, a seamless world and larger play area. Go for something that's maybe twice as large as Oblivion. Although, with such a mountainous terrain, Skyrim will have the benefit of a broken line of sight. Perhaps the largest illusion breaker when it came to size in Oblivion was seeing cities in the not so far distance. They were too close together.