Just the whole "where did this dragon come from?" feel and then Balgruuf sending you, Irileth, and those guards to fight Mirmulnir at the watchtower feels perfect - it feels like what the game should have been.
I feel like most of it fell apart once you have to go visit the Greybeards, and even more so after you come into contact with the Blades and Paarthanax.
I would have preferred that mystery and ambiguous throughout all the game. Like you have to go each hold and do similar but varied quests like Dragon Rising to help quell the dragon uprising and defeat the Dragon priests, all the while trying to figure out a way to defeat Alduin. Then in a final battle you and the Jarls and heir Housecarls and guards engage against several dragons at once and defeat Alduin.
Sort of like how in Oblvion you had to go to each city and close the gates which would affect the final battle.