These lists seem popular, so have mine
lots of these have been mentioned in other threads already...
my description is a little pessimistic, I know that some of the things in my list are /sorta/ making their way into the game.
and the game doesn't necessarily need the features, they would just be awesome

1. Choices and Consequences
multiple ways to finish quests, consequences (and rewards) for your choices
this is a huge topic... point is, it would be cool.

2. Enchantment 2.0
while nobody ever used a generic class in Oblivion, the spellsword always looked pretty cool (concept wise) unfortunately there was no way to power up a weapon in combat, you needed to go in with an enchanted weapon and watch it run out of charge half way through the battle.
enter Enchantment 2.0 (obviously not what it would be called) casting a spell while performing an action (block or something) would instead cast it on your weapon.... to be cast on your next attack.

3. More Unique placed items.
in houses/mines and other interiors as well as the over-world also makes things more interesting for thieves when the expensive loot is hidden behind a tapestry instead of in the generic "Very Hard" locked chest.

4. Locks and Lockpicking
while on the topic of locks. If you are going to put another unbreakable lock pick in. DO NOT give us an auto attempt button.
also, bash locks. Just sayin' OOO (well FCOM) is one of the most popular Oblivion mods for a reason.. this is just part of it.

5. Magic Staves power up your magic rather than cast a charged spell.
or both... great as my thunderbolt staff was, 10 uses later I needed a recharge or an Well (because mods are awesome), instead let it.. a) buff my spell damage (of a certain element? school?) or b ) reduce Magika costs.

6. Magic Crits
an unexpected fireball to the face is going to surprise you (and do extra damage) in the same way an unexpected arrow to the face would.
consider that a stealth crit is assuming you bypass the enemy's defence by attacking them unexpectedly... some thing.. but their resistance to magic.. (willpower?)

7. Unique Landscapes
well this appears to be in the game again :celebrate:
if they do get lazy (specifically in forts, mines and caves)... there are always going to be mods

8. Useful Skills
Acrobatics... yeah didn't notice that very much in oblivion. In Morrowind you could climb onto pretty much everything. In Oblivion the skill was used to cheese slopes.
Burden? you needed to over-encumber someone for it to be worthwhile, how about slowing them down or something?

9. More Sliders
we love the difficulty slider.
now how about a time slider... and a skill progression slider (ranging from 1/3 speed to double speed (oh you lazy kids)

10. anything FCOM/SM introduced that I have failed to mention.

11. More Varied races.
unique otherwise unobtainable abilities
defined strengths and weaknesses.

12. make vampires good.
'nuff said.

anyway, lets see what happens... either way I plan on writing my own mods (maybe an overhaul, but it is waaaaaay too early to tell) but if I get lazy I will at least be using 200+ mods (because sometimes you just need that mod (like the random bits of paper with messages on them... being unique)