I agree with Danger Dan. New Vegas did a decent job of having you choose a side, and having that choice matter. There were factions in that game that didn't get along, and it showed in the game-- they were fighting, they would hear about it if you were helping the other side, etc. I'd like something similar (only better!) in Skyrim, where your choices mattered-- if you start gaining a higher profile, you won't be allowed to just "sit on the fence" and freely pass between sides in a war and help whoever you choose without consequence.
I can only hope we see some of this!