When I played Skyrim and I played through the storylines of all the different factions on one hand (Thieves' Guild, College of Winterhold, Bards' College, Dark Brotherhood, Blades, Foresworn...) as well as the two main political factions of Empire versus Stormcloaks, I was left with a bit of a void.
I had, and still have, a major urge to redesign the whole political context. I felt that as a leader of all these little factions and with the status I have built up with the Empire in Skyrim that I was probably the most powerful figure in all of Skyrim, definitely since I defeated Alduin, Harkon and Miraak.
So I wish I could merge the Blades and Nightingales, unite all the jarls under one Skyrim, allied to the empire, yet independent so we're not feudal to the Thalmor, I wish I could invest in the College of Winterhold and apply that knowledge to a further extent for my Blades/Nightingales, then make some diplomatic approaches towards the Psijic Order and the Moth priests.
You know... That's how I would fill it in, but in general the gist of it is that I wish I could be able to redesign the political context of Skyrim and its organisations, which would be perfectly logical with the epic status and power that I have obtained as the dragonborn throughout my adventures. A king on the throne of what I perceive to be a perfectly harmonious and strong land.