I would love to see Daedric Shrines make a return in this game. They were a guarenteed interesting quest, with a guarenteed interesting item as a reward, and were some of the best quests in the entire game imo. Perhaps Sheogorath and Jygallag will both have a shrine of their own now...
The Dark Brotherhood...in the chaos since the Empire of the Septims collapsed, the followers of Sithis should have prospered and spread. I'd like to see an extensive DB guild, with multiple sanctuaries and perhaps even a Shrine to Sithis.
More items that are unique. The Scales of Pitiless Justice was an awesome item that they included in Oblivion, and didn't even have to be equipped to give you a bonus. Likewise, more relics from the daedric princes would be most welcome, and not just from the aforementioned daedric quests, but perhaps in high level dungeons that are extremely challenging to storm.
Channelled Lightning. Insta-bolts are sure to be in the game, and are awesome, but some enemies you just want to slowly fry to death with electricity. UNLIMITED POWAH, in the words of Darth Sidious
We know that holding down the cast button with fire damage equipped = flamethrower effect, so I'd love for the equivalent lightning damage effect to be a continuous stream of electrical goodness. Which brings up a good idea for a perk,
Unlimited Power: Your channeled lightning will now arc to enemies near your target.
More Physics-based functionality. Throwing a big ole rock at a guard should do some damage and piss him off
Also, dragging corpses should be easier than in oblivion because that was quite difficult.