Oh there are two things that need a change, in my opinion at least. Bring back the voices of the male Dunmers, and the awfully human-like legs of the beast-races needs to go. That solely killed alot of Oblivion for me.
I do also hope there are more options in quests, or at least something unexpected. I found most quests in Oblivion VERY predictable, in the end it was just boring to quest. The Dark Brotherhood and Thieves Guild was well made though, I hope to see more of that, in all sorts of quests.
One more thing, that disappointed me the most actually, Mages Guild spoiler ahead mind you:
Spoiler Mannimarco. The all powerful Lich Lord of nearly 1200 years old. The first humanoid to ever become a lich actually. You finally get to fight him. You fight your way through, and what's this? ...A Dunmer? A pretty-boy Dunmer? With a completely normal voice, so he sounds like everybody else in the game? No special robe, voice nor looks to his appearance at all. He's just another Dunmer among the crowd, and he was just as easily dropped to the ground.
That, of all things, svcked. It still annoys me.