If you compare dragons and giant spiders to Mehrunes Dagon or Nerevar; Skyrim seems lacking somehow.
Yeah, except that you fight a bunch of them, and not just 1 dragon. How do you know that Alduin isn't one huge dragon motherf***** ?!! Comparing the dragons to Mehrunes Dagon is a bit off, if you ask me. Also, I don't get why you compare dragons to Nerevar, the player character? It would be more relevant to compare Nerevar to the Dovahkiin.
Also, size doesn't matter that much. Imagine fighting a Super Mutant Behemoth, followed by a Ghoul Reaver. I'm pretty sure that the reaver will scare you more.