@OP, the Quest item you are given in Oblivion is weightless. Unlike the several items of clothing, mysterious gems, artifacts and weapons my previous character carried, when he stupidly "took all" at several chests, before stopping this practice entirely.
Step Down:
No Luck. Yeah yeah, this is a huge bone of contention on the Oblivion forums. It was in FO3 as well.
No weapon degradation.
Writing. Elven Bracers of Major Sure Grip? Really? My son has better names for his imaginary weapons when we battle.
No spellmaking.
Where are my greaves? Unfortunately, pants went away in FO3, I didn't realize that this was going to be transported to TES.
Special exit at the end of every dungeon. C'mon Man!
Finding filled Black Soul Gems in Geode Veins. C'mon Man!
Can't see my character in the menu.
Umm inventory? What happened guys? Not even alphabetical? C'mon Man!
Killcams
This is huge for me. As well as how NPCs in Skyrim, seem to have no boundaries. For example. Whenever I talk to the Jarl in Whiterun, Irileth, stands in my way. I have never seen his face, in first-person over two characters.
The biggest issue, is the writing though. It took me a couple of characters, before I could pinpoint it for myself:
I get a quest. I talk to the quest giver. Go find this thing in this hole in the ground. I talk to the quest giver about anything else that will help me find said item.
Someone else went out there, they never came back, perhaps if you find them.....
So you go out there. You're excited to learn more about this ancient whatever you are looking for. Perhaps to wield it for yourself! You find the fallen treasure hunter's body.... and a journal!
As you open the journal, the game tells you to go find this thing in this sub-layer of the dungeon. BEFORE I CAN READ ABOUT IT MYSELF. Thanks for ruining the ending of the story for me! Now that I know what's going to happen, before it happens, I don't care as much, you know? Just go get the damn thing. An example. It happens in every quest. I know, before I should know.
I have lots of other issues. But the world is so beautiful, see below.
Step Up:
Game world is freaking beautiful. I love to walk around in it! 
Radiant quests are not quite there, but it's a start. --->Hey I'm a big, strong Nord smith, and this guy took my pick axe, and I want it back. Will you, a petite woman wearing a robe, go get it for me? Cuz I'm too much of a [censored] to do it myself. FAIL. Make me want to get something for you. Which leads to better writing. Yeah I know you can't have that much detail in every radiant quest, but make me care, even just a little.
Leveling is a step in the right direction. Bethesda, as usual, throws a ton of OP perks in there.... you just gotta avoid them.
I'm concerned about the direction that TES is headed in. I love their open worlds very much, and can only hope that future art directors for the series who peruse these forums take many of our concerns into consideration.
EDIT: I forgot: Why do I need to unsheathe my weapon when casting a spell? And where are my hotkeys?