Instead of just starting out in the sewers, like you do in Oblivion, following a given intro, I quite liked the background options you had in Mount&Blade Warband. It would be cool if you could choose where to start, e.g. any city on the map or maybe just somewhere in the wilderness or a random in somewhere on the map. This could be based on whether you're a city-type character, like a thief or merchant, or maybe a hunter/ranger, or a maid at an inn, which would also affect your starting gear (if any). Such choices would also be a natural way to select your primary stats and skills, if the skill system remains unchanged from Oblivion.
Under all circumstances it would certainly add a bit to my RPG experience and give the character a good base from which to build personality and develop skills.
What do you think? What would be a good opening scene for you?
Edit: This thread is not meant for power gamers, as I'm sure it would add unnecessary length and inconvenience to your power trip =). It could lead to serious problems for people already suffering from restartitis.