I dont know about you guys but weather is a huge thing for me in games, in terms of RP and immersion, and the elder scrolls series, even though I love them always have some messed up weather. Here are some examples:

Rain and snow going through buildings when you are inside them. (The worst one for me)

Realizing there is a patch of rain or snow following me in a small circle like its the Truman Show.

Honestly I would rather them make snow and rain really low detail or something in a patch just so they could improve it. They improved it in Skyrim a tiny it bit to make it less obvious but it is still very noticeable.

Only thing that really bothers me about weather is that there's often no transition. I can be walking through a blizzard and the weather will immediately change to being completely clear in literally less than a second.

Sure, it could be improved, but I never found weather to be a problem since I know there are limitations to the game engine, there are people with poor hardware to be considered when making a game, and besides rain falling through buildings there aren't any really visible flaws to the weather system.

I'm just glad they gave us the Clear Skies shout.