There are the two story failures, one from each game that I hope are avoided this time.
For Morrowind lack of clear goals: On my first try, I didn't get the package for Caius until after I looked at a game walk-through and found that I had missed an important step. The in-game instructions were just that I needed to talk to that guard in the room by the exit door and I did, but I didn't ask about the one topic that gave me the package. I was very confused and I suspect that many of the other "I just didn't know what to do" complaints about Morrowind were related to that little glitch or something similar. The game gave you enough freedom to be able to accidentally lose track of the main quest.
For Oblivion railroading the player: In reaction to Morrowind's flaw, they added quest markers and exceedingly clear and urgent instructions for the entire main quest. But that meant you were directed to Kvatch far too soon and the whole Hero of Kvatch quest was absurd. My first character was level 2 and mostly fought scamps that any half-competent guard should have easily killed. Exactly how did they manage to overcome an entire city, especially one that supposedly had a Mage's Guild? And I was still called the Hero of Kvatch long after I had accomplished much greater feats.
My hope is that they find the happy middle ground for Skyrim. The main quest needs to be highly visible but not so urgent that we are rushed into situations that just don't make any sense for a low level character. Your character should have a compelling reason to explore the world at least a little bit before the dragon slaying begins. More importantly, there should be continuing reasons why you might want to continue to explore the world intermingled with the main quest. The best and most logical reason being that only someone with skill can defeat dragons. Being dragonborn is a prerequisite but not sufficient.