I'm just going to start off by saying that I'm the type of fan that loved Morrowind but hated Oblivion... nevertheless, I hope you'll read my post for the information and not in association to my prejudices.
One of my fondest memories from Morrowind is creating my Strong-hold for the Telvanni House quest line. My brother created the Hlaalu strong-hold, and to be honest, I have no idea what the Redoran Strong-hold is like.
Among my many many many other disappointments with Oblivion, the lack of a personal strong-hold was quite high on my list.
At the very least, I'd love to see the personally constructed Strong-hold make a comeback in Skyrim.
However, I have a few ideas about how it could be taken further.
As every fan knows, Bethesda makes available with every game a Construction Set which allows players to edit and build inside the game-world. While everyone is perfectly able to use the Construction Set to build their own Strong-hold inside the game-world, it breaks the immersive continuity of a play through and really feels like cheating.
My suggestion is thus...
Inside the game, players can acquire plots of land from whomever owns the land, (getting the deed, permits, either purchasing them, being rewarded with them, claiming them through strength (intimidation or just killing the owner), or gaining control of them through factions), and going to the plot with a hired "architect", can enter "Architect Mode". "Architect Mode" is really just an in-game version of the Construction Set, which allows players to "design" their buildings, inside the game (but only in the plot). Saving this "design" generates a "blueprint" inside the game-world, which the architect gives to you. You can take this "blueprint" to a construction company or your faction, and hire them to build the structures. Then, as time goes on in the game world, your building will be slowly constructed as can be best deduced by some sort of construction algorithm. You can hire people, get slaves, or whatever, to populate your new strong-hold, house, town, business, mine, trade-post, farm, whatever...
Obviously, this process would be insanely expensive, and different resources may have to be acquired for different construction materials. You might acquire "trade contracts" for the materials and objects... either through overseas trade, or through local companies and mines, etc. etc.
The gist is... its an extremely cost and labor intensive process that is very difficult, but the feeling of the end product would just be... indescribably amazing. The more difficult the process, the more rewarding and meaningful the result.
... Then again, maybe I've just been playing too much Mine-craft lately...
-- EDIT --
A more feasible but still very very interesting idea from Liuken