I think Skyrim is great and a huge step up over Oblivion and even does a couple of things better than Morrowind (mainly gameplay and exploration), but it has its fair share of problems. For every two steps forward it did, it took one step backwards.
Now, for what I think is missing with exploration: artifacts. Morrowind had LOADS of them, and a lot of them which couldn't be obtained via quests or NPCs, unlike Skyrim. The level scaling is oh so much better than in Oblivion, but it's still a bit too present. There should be level fixed dungeons in dangerous areas (there are, but mainly passes as far as I know) where there are artifacts hidden. And not necessarily at the far end of the dungeon, like it could also be found somewhere random in a crypt you must enter for the main quest. Remember the unique gauntlet you could find in the cavern when first confronting Dagoth Ur? It wasn't in a chest or anything, just hidden somewhere in a room. Or the tomb with the Eidolon's Ward hanged for everyone to see with lots of nice loot? Or a ring hidden in an ancestral urn? Why is every loot scaled and all? Part of the fun of exploration in Morrowind was finding these unique artifacts, collecting them all or finding most of them. As much as exploring in Skyrim is great with unique dungeons (albeit a bit linear and similar in the overall structure), this is truly something that is lacking for me. I look forward maybe finding some unique artifact, but never come across any. You know, it would be cool to explore this ominous dwemer ruin on top of a mountain during a big snowstorm only to find the fabled chrysamere or something. And there could be an artifacts museum like in Tribunal for you to sell them and get shown.
Otherwise my main concern with Skyrim goes with the quests and NPC interaction. Please, as much as the voice acting is much better than in Oblivion, get rid of it for dialogues. Don't get rid of it entirely, just the dialogues. People will still talk to you on the roads, talk to each other and all, but make the dialogues written. Conversations are just so dumbed down. In Morrowind, you could ask anyone about their backgrounds, latest rumors and such. I asked a random dude in Seyda Neen's trade center about rumours, telling me some idiots lost a unique ring in an ancestral tomb along the bittercoast. No journal entry, nothing, not a quest. Still, I got curious and walk alongside the bittercoast. Entered the first ancestral tomb and found the ring which is an artifact. There's no such thing possible in Skyrim. I just saved a girl from being assassinated, and acts as if nothing happened. The inn owner still talk to me about her barmaid, but she's dead... Everyone always know everything about the locations I need to go to fetch something, and sometimes they don't even tell me where to go. It's not even written in my quest log (it's not a journal) and I need to press x for the location to be shown on the map. No directions either. The map doesn't show the major roads, so I don't know if I can follow any for easy access. And he doesn't tell me if I need to get through or around a big mountain, need to cross a certain bridge to get through the river, etc. So I just walk in the direction and sometimes wander like I'm in a labyrinth in order to reach the place. Some may like this, but it's just unrealistic for my character to take on a quest without knowing how the hell to get there properly. You can take the quest markers off, but some quests are impossible without them.
Non-voiced dialogues also mean you can ask NPCs in order to find someone/somewhere, they can refer you to someone else, etc. You can have much more interesting quests, because here, it's obvious Bethesda want to save resources. Some dialogue lines even need to be recorded several times. For non-voiced dialogues, you just have to program everything in, which you still need to do with voiced dialogues, you have a whole time consuming and expensive step in less. NPCs will be able to talk more about their quests, give you directions (so you don't need to follow the arrow if you don't want to), etc. More NPCs and quests too.
And the other side of the quest problem in Skyrim: the journal. It's not a journal, it's a quest log. Why get rid of the Morrowind journal? It's not because it was hard to find information back and things like this that it needed to be scraqed, just enhanced. And that's the problem with video game developers these days, they just scrap perfectly fine game mechanics rather than fixing and improving them. Give us the ability to mark important pages, add notes, search keywords, I don't know, add entries yourself too. And with the map, I think only big cities should be marked, and that it's not shown (maybe make it an option) on your compass, this is not a GPS. NPCs can still mark caves and such, you would be able to mark ANY area you want and link them with a journal page number if it's related to one of your quests. But don't make every place instantly marked on your map when you approach it, it's just clutter. Or make it an option. I can't believe there's not a way for everyone to be happy here.
As for travelling, it was great to have carriages, and I loved the twist to talk about the city. But it was just not enough. I can take a carriage from Whiterun to Dawnstar, but can't do the contrary. It's understandable. But Dawnstar has a dock, why can't I take a boat to Sollitude or Windhelm? Why can't I use court mages teleportation services to other "palaces" of the same allegiance? Why can't I use mark/recall or intervention spells? I don't like fast travel because I find it more immersive to walk the more possible, but I don't necessarily want to take the very same roads all the time. That was the problem in Oblivion, if I wanted to go to Anvil from the Imperial City, I needed to take the same damn road ALL the time, and if I wanted to go to Skingrad, it was still the same road, you just walked it less. And all the quests were built around you using fast travel, so you were constantly crossing the province. I just loved how you could plan your travels in Morrowind with silt riders, boats, mages guild teleportation, almsilvi or divine spells or scrolls, the mark/recall rings or using the propylon indexes in the strongholds. And if I don't want to walk the same roads, using the world's services is the best way to keep the immersion and feeling like taking part of the world.
I like the perk trees and all, but I still think Bethesda shouldn't have scrapped the birthsigns (I know about the statues, it's just not the same thing, everyone in the ES world is born under a certain sign), attributes and certain skills. There should also be more perks and more levels for each perk, you should spend more than one perk point per level, make them "mini skills". I get why you took out the axe skill and blunt, and you can find them in both the one-handed or two-handed perk trees, but there's only 3 levels for each and it's only about a specific move. Even then it's quite weird that your ability to use axes and swords fall under the same skill... And why take out athletics and acrobatics? After hours of walking the land of Skyrim, I should be able to run faster and have more endurance.
And why not bring back some Daggerfall skills somehow? Where is swimming? Not everyone is able to swim, and certainly not everyone is able to swim in heavy armor. Maybe not make it a skill, but I don't know, the ability of swimming could be an athletics perk, the ability to swim in heavy armor a perk of the heavy armor skill. The ability to swim faster unarmored under the unarmored skill. Or maybe make a bit perk for everything that has to do with "martial arts", unarmored, hand to hand, acrobatics, athletics. So you don't need to constantly jump in order to level up that skill, but when you level up that skill, your ability to jump isn't improved by much at all, otherwise it would be weird to be able to jump very high when the only thing you do is running or getting hit while being unarmored. Maybe put in perks so you could improve more these mini-skills. And bring back climbing, why can't anyone be able to climb steep cliffs or houses?
There's probably more that I forgot, but also: make it possible for first person purists to experience the game ONLY in first person. And the "map" is terrible, we want a real map with roads, regions written and such.
EDIT:
More factions, more quests per factions. Well, there should be major and minor factions, the minor ones having less quests. Make it so you have a reputation which is affected by which faction you're in, make it so people from other factions like or hate you because you're in the imperial legion. Make it so you can't be in every faction, that there are conflicting ones.
Daedric quests are also way too easy to get into. They should be harder to find. I like it that there's not a shrine for every single prince, but why is that I got into two daedric quests in Dawnstar. The moment you enter the city, you hear about the nightmares. You play a drinking game with someone in a tavern, you also get into a daedric quest. It's just too in your face... Or am I the only one who realized that every time you enter a city, there's people right in front of you discussion about something which gives you a quest. I feel like you get into some quests just way too easily. That means every time I will start a new character and get into each city, I will have to sit through the very same conversations? No need to sit through of course, but I think it makes for every new game all the more similar. In Morrowind, or even in Oblivion to a certain extent, every time I started a new character I didn't inadvertently encountered the very same quest in the same fashion. It helped for Morrowind that there were a lot more quests everywhere. I didn't even realized there was a quest for finding the tax dude in Seyda Neen until later playthroughs. The more quests, the more chances you miss some and find them on subsequent playthroughs, particularly quests in the wilderness. Or even faction quests when you could bypass certain quests if you were high ranked enough. It helped that there were a lot of quests that were given by talking to someone who didn't try to get your attention.