To begin with, it should be able to hit objects. When rain hits roof (or anything else), it shouldn't fall through. Even mods for Oblivion almost succeeded in this.
Secondly, rain should reflect. When it falls to the ground, it stays on the ground, creating rain puddles, reflecting all lighting, like water should do. Newer games have things like this.
Thirdly, rain should make different sounds when it hits different things. Rain hitting ground makes one sound, rain hitting foilage makes one sound, rain hitting building makes one sound... etc. You get the point
Fourthly, you should be able to hear rain from inside buildings (very important) hitting the roof, windows, etc. This should also go for any other weather. If Bethesda doesn't do this, I will get very disappointed, since it's not really hard to do. Many mods have done this. You should also be able to see the rain from inside buildings.
On a note, dynamic skyboxes should also exist for all weathers. This can also be said about the rain. It makes the skies look a whole lot better and realistic.
Here, look at these videos for some examples:
http://www.youtube.com/watch?v=e2LhfzbFo4g (quite old, this can be improved further, but it still looks quite realistic)
http://www.youtube.com/watch?v=-yxnETZ6RZk (really nice, this reflects lighting good)
Do you agree?