First - I want to pick a race and a gender.
I want that character, by dint of race and gender, to have particular attributes - particular amounts of strength, speed, endurance, intelligence, agility, personality and luck. Then I want the ability to reassign points from one attribute to another, but with a cap on each one, again depending on race and gender. So, if inclined, I can make an Orc, for instance, who's notably more intelligent but weaker than the norm for Orcs. He wouldn't be more intelligent than the most intelligent of Altmer, for instance, but he would be intelligent by Orcish standards. But he'd have to give up something for that. That is, to me, fundamental to roleplaying. I don't consider limitations placed on characters based on race to be some sort of onerous burden (and I'm sincerely baffled by the notion that they are) - I consider that a fundamental point of having different races. I didn't play an Orc mage in Oblivion because I wanted to play a green mage with fangs - I played an Orc mage in Oblivion because I was enticed by the challenge of playing the character in a way that was contrary to his racial tendency. That wasn't a problem - it was the very point. And to fully appreciate that challenge, that's the way the character has to be from the start. I don't want a formless blob of an Orc to simply end up a spellcaster because that's the choices I clicked on when the perk fairy visited in the middle of the night - I want him to end up a spellcaster because he was notably intelligent, but weak, by Orcish standards. Ditto my Bosmer tank or my Nordic thief.
Then I want to follow that character out into the world and just watch as s/he does things - sit back and push buttons and see what happens. If s/he gets in a fight, then the primary thing that should determine how well s/he does in that fight is his/her fighting skills, NOT my button-pressing skills.
And I want those fights to happen logically. I don't want to be walking down a well-traveled road, regularly passing patrolling soldiers, then come across an eight foot tall minotaur pacing up and down. What the hell are the soldiers doing? He's eight feet tall! Don't tell me they didn't see him. And, corollary to that, I don't want to leave the road and start striking out through the forest, only to see nothing but butterflies and trees and maybe the occasional bedraggled wolf. That's where all the minotaurs should be - not pacing up and down the road. And I want it to become increasingly dangerous the further afield I go, with absolutely no scaling for my character. I want to relive the terror I felt in Morrowind, when my low level character would top a hill and see a Daedric ruin in front of him and the hair would stand up on my neck as he dropped into a crouch and slowly backed back down the hill and then gave the ruin a very wide berth, terrified the whole time that something might see him.
I don't want to micromanage stats or perks or anything like that. That's the point of creating a character of a particular type in the first place. S/he just goes out into the world and does whatever it is that s/he does and becomes whatever it is that s/he becomes as a result. If the character runs a lot, I want him to become better at running. Not because I clicked on the running perk when the perk fairy visited, but just because a character who runs a lot gets better at running. If s/he fights with a sword a lot, s/he should get better at fighting with a sword, steadily, incrementally, in the background, simply as a result of using the skill.
Beyond all that - I want to walk into a town and talk to people and learn things. If I'm to be given a quest, I want someone to describe it. If it requires that I go somewhere, I want them to give me directions to get there, or at least tell me that someone else, who knows the land better, can give me directions, then I want that person to actually give me directions. I want to be able, if I'm skilled enough, to be able to find anything in the game without once looking at a map. If the way to get to the cave is to follow the road out of town, turn left at the first fork, follow the path up the hill until I get to the leaning rock, then turn to the south and follow the flank of the mountain, then I want to be told that that's the way to get to the cave, so that I can then go out and (try to, at least) follow those directions and find the damned thing on my own.
I want to have to make decisions that mean something. If somebody offers me a quest and I'm not interested in doing it, I want to be able to turn it down. And I want that decision to have consequences, all around. If that means that somebody dies - so be it. If that means that my character's reputation goes down amongst the townspeople - so be it. If that means that other things are closed off to the character - that s/he can no longer get another quest in town that depended on successfully completing the first one, or that depended upon a now-unattainable good reputation with the quest-giver - so be it. There should be choices and they should have consequences. If I want to do it a different way, I'm not only able but willing to create a new character, with a different viewpoint, who will do it a different way.
Ah... and even with that wall of text, I could go on, but I've lost steam for the moment.....