I want the main quest to offer choices. Not necessarily different endings depending on the choices, but enough to make the player to "feel" in control of the story, instead of just doing whatever the story NPCs tells him to do. The http://www.uesp.net/wiki/Oblivion:Dagon_Shrine in the Oblivion main quest kinda tried to do this, but in the end I felt it was very under developed and should have been expanded upon a great deal.
Daggerfall had a great branched plot too, several different parts that you could do at your own pace, and a juicy conspiracy in the middle of it.
I'm no fan of rail gaming a la Half-Life 2 at all, and it's really out of place for a TES game.
The story should start off extremely linear. You should escape from a village that is being ransacked by some enemy. Afterwards, the world should be completely open, you should be able to do whatever you want, etc.
I honestly don't like that idea of how the game starts. Escaping from that village for the 1298th time will be extremely boring, just like how it was extremely boring to go thru the initial Oblivion dungeon or the Baldur's Gate 2 dungeon when the games start.
No, the beginning should be very short, no action and then offer an open world. Morrowind did it kinda right there.