I am very partial to the small things driving me crazy in a game so I've made a list of things that bothered me the most that i hope get corrected in this next incarnation.

1. Oblivion had too many Completely useless random items (yarn, cloth, dinner ware, brooms, shovels, urns, etc....) if they are added to Skyrim i would love to see a use for them. such as tailoring, making you own clothing, colors, and patterns, making food a necessity rather than just give bonuses.
2. NPC interactions often produced completely off the wall and nonsensical banter, having NPC's that actually have a conversation that makes sense would make a greater experience.
3. NPC voices were too similar. it was as if every 3rd NPC had the same voice. same with the faces. it was as if every NPC looked like a sibling of an NPC from the next town over.
4. NPC's had no distinction, by that i mean that all an NPC did in oblivion is walk around from their pathing points. in Skyrim i hope we see some NPC's with shopping bags, umbrellas, holding babies, walking with their families, chopping wood, smithing, etc... give each guard a unique trait such as twirling a nightstick or flipping a coin, whistling or even harassing a local thug. adding life to these NPC's makes it feel like your inside a real living breathing world.
5. many of the spells and enchantments felt too similar or bland, uniqueness in visuals and application is what im looking for. tailoring not just the magnitude, cost and target, but also the appearance, colors, and utility of the spell are important. also the enchantments on weapons and armor. enchanting in oblivion made me feel like it was a waste of time and materials. i would find a grand gem and spend a bunch of money to give my favorite sword a powerful ability only to be able to use it in 1 fight before i had to go pay 5k gold o have to refueled...to me enchantments should never require charges....so i hope that changes as well.
6 in oblivion there was no sense of urgency after taking a quest i went for months without touching the main quest line or even seemingly urgent quests. i hope in skyrim if i get a quest say to rescue a kidnapped wife that i might only have 2 days to complete it before they kill the woman and move on. it makes things feel more urgent and important.