Ability to define the religion of our characters, and to have the Shrines to the Gods we want our character to revere.
Each race have their own religion, but in Skyrim we could only build Shrines to the 9 Imperial Divines. Why not Shrines to the Nordic Pantheon? There are quests we can complete for our characters to learn about the Nord's gods, but then we go back to our Homesteads and tap on the Shrines of the 8/9 Divines.
It always struck me a little weird that Meridia and Azura had no problem taking our characters on as their champions, while we were wearing and/or wielding the items of Molag-Bal, Boethia and Namira.
And that Molag-Bal hates Boethia and wants to subjugate her Priest, but ignores that we have worked for her and are carrying her favour.
If Daedric worship is supposed to be outlawed, why do people do it? If people could get bonus from Shrines for the Daedric Pantheon, then it becomes a temptation for players to engage in something illegal - so long as there's a risk of them getting caught and having consequences for doing so. Maybe certain Daedric sovereigns don't like talking to agents/worshipers of their enemies.
Oh, and why does Boethiah, Daedric Mistress of deceit, conspiracy, treachery and sedition, give a buff to One-Handed rather than Sneaking?
I didn't play a Sneak character, but her blessing made no sense to me at all. If I'm biased, it's because my Orc felt dirty using a Shrine to Boethiah, so I stuck to my blessing from Stendarr instead. : P