Its the little touches we've seen from past lore that help sell this game's new lore in my eyes. The 7,000 steps (have not counted them yet, but they are referred to as such very often). Dragons having lived into modern times (Naafiliargus would be a prime example of that). The Companions being descended from the 500 Companions.
Those are just off the top of my head. I'm sure there's probably some things they've crapped on somewhere, and I'm going to avoid this thread until after I beat the MQ again, but I just wanted to compliment Beth on not just overwriting their own lore to the extent they did in Oblivion.