I'm going to have to agree with TheDaywalker completely.
Climbing is definitely great fun. I think levitation spoils it a bit, but it really immerses you into a stealth character's world. I would personally enjoy some sort of rappelling equipment like a hook and rope so you can climb up and down it, but at the same time a simple climbing skill just for getting over steep terrain, walls, or onto rooftops so I can plan my assassin attacks.
Oblivion has a cool mod called the Thieves Arsenal. One of the coolest items in that is the vine arrows which, when shot into a surface, sprout a climbing vine. This allows to you shoot multiple vines and climb around amongst them and fight as you go, shooting regular arrows at the people below you. Just one more thing. Morrowind has borrowing combat (hey, call heresy but it gets old fast unless you're picking people off stealthily) and to an extent exploration qualities, so anything that can spice it up would be welcome.
@Tsetra
I think you meant to say 'boring' in that last sentence - a game engine that could dynamically borrow combat from other games would be interesting though. :bolt:
There's a little trick already built into the game that one can utilize to perform climbing and rudimentary parkour maneuvers (i.e. running up the Vivec canton buttresses from the upper connecting ramps to access the rooftops): it works by moving against objects with collision and repeatedly using the combination of left-forward / jump or right-forward / jump depending on what side of the player the object is. This works best along side where rock statics meet the ground, and allow you to climb a slope that would otherwise be too steep to ascend.
One can also climb vertical surfaces like the outsides of buildings by placing the player's back against a concave corner, looking directly down, and repeatedly jumping while moving back (effectively moving up) - the collision box interaction between the building and the player will allow you to slowly scale the building (at least to where the eaves overhang - getting past those is almost impossible). I've used this technique right after starting a game to hop the gate next to the entrance to the C&E Office in Seyda Neen and access the dock area when I can't manage to pick the gate's lock.
More challenging than using a specialized mod, and your success rate naturally improves as your athletics/acrobatics/speed increase due to being able to traverse greater distances. Success is also greatly influenced by your fatigue level - the closer you keep it near max the better (zero fatigue usually means failure).
[edit] forgot to mention moving back against the corner when scaling buildings.