What I'd like to see is a new skill called Horsemanship or Chivalry. Right now in Oblivion horses are only good for covering ground quickly. Just about anything could have taken its place. You can't attack while on horseback, you can't trample/run enemies over with horses, you can't even interact with anything meaningfully because the button for interact is the same as the button for dismount (at least it is on xbox, dunno how it works on pc) . If there was a horsemanship skill, you could have novice horseman, who can only ride, then you have apprentices, who gain the ability to attack while on horseback. Then you work your way up to masters, who can maybe tame wild mounts. The speed of your mount should also depend on your skill level, not on what colour your horse is. I'd also like more variety in the species of mounts available. Any of the native species of that province would be good, for example guars in morrowind.
Something else I'd like to see is the ability for spells to interact in with the environment, more so than just knocking items away. Here I'm thinking about the way plasmids worked in bioshock, how if you electrocuted water, anybody standing in it takes damage. Or if you set someone on fire, they're able to extinguish themselves by running into water. Currently the spells in Oblivion need something to distinguish them from one another