1. Variable damage is what gives any game that RPG feeling, as such makes combat much more interesting.
2. The plethora of spells you were given in Morrowind were amazing, albeit i only fancied destruction but still, the choice WAS there.
3. Variety, there was so many different armors and weapons you could you use.
4. Enchant being a skill, should've moved this into Oblivion to affect the quality of Enchantments (You need Enchantment level of 25)
Note: With Enchanting in Morrowind you had to get a high quality soul and matching item to make a constant effect enchantment, It made these items more valuable.
5. Locks not having 5 different levels, so anyone who was using alteration would have to use a slightly higher spell.
Note: Could make Open Lock spells work off chance using 2 fields. Lock Type and chance to open. Open Easy Lock 33%. (Very Easy lock would have a 66% chance)
6. Morrowinds Alchemy system kicks ass over Oblivions. Low-level alchemists would have to work off their memory. high level alchemists have it remembered for them.
7. Trading, Morrowinds trading system was logical and awesome. Shopkeepers wouldn't have infinite money to buy all your goods, they would run out eventually.
8. Starting position, you arrive on a boat and get to go anywhere and do anything from that point on. Not in Oblivion where you get conscripted to give the Amulet to Jauffre.
9. Epic map size, maybe it was because your character moved slower but Morrowind definately seemed much more larger and even had more cities then Oblivion.
I don't see why these weren't passed over into Oblivion but i hope to god that TES V is going to FEEL like an RPG when I play it like Morrowind, not so much Oblivion.