More of everything in Oblivion, with some scaling options.
I think that in most respects Oblivion set out a really strong base for memorable gamer experiences, and that TES5 really ought to expand on TES4's strong points, while looking at the kinds of mods that became popular for inspiration on things it could add or improve to the next core game.
Detailed scalability of the player experience is the most important new thing that TES 5 should bring to the table.
Rather than wait for modders and scripters to implement things like hunger, the need to sleep, and 'realism' in the economy and inventory; build those things in the original game, and give the player some knobs to twist so they can tweak the experience to their liking (at character creation, or mid-game, as with 'combat difficulty' in TES4 and F3).
- Are you a kinda casual player, not looking to get deep into systems and limitations? Do you want to build an unstoppable character by mid-game? Turn all those realism/immersion knobs to the left.
- Are you a deep role player, wishing to be under genuine threat from field enemies, having to parcel out backback space for swords and food, want anything better than steel gear to be very rare indeed? Crank the dials to the right.
I think that TES is a single player series, and in that regard it can simultaniously please casual gamers, god-modders, average joes, RP nerds, difficulty fetishists, and all between.
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Other small things would be the ability to save a few gear/armor/clothing sets in the menu, to allow for speedy changes between full plate and casual clothing. Capes and cloaks, natch. More visual variety in the weapons - as many mods added.
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More voice actors and VO work in general. I don't know who started the trend to worry about space, but these days people can buy 1TB harddrives at department stores, and if the game install covers a few DVDs (or a 25gig DL, or whatever) who really minds?