I absolutely agree. Also having other heroes and whatnot in the world that your hear about would give the impression that you're just a fish in the sea, a shark though you may be, instead of leaving us to feel like the world exists solely because the hero exists.
And I'm not sure how this would be implemented without it becoming silly, but being able to learn or create spells on your own without an altar or someone to buy spells off of. Or being able to adjust and improve the spells you've already learned; more damage, longer duration, whatever. It angered me that no matter what kind of character I was, I had to find and pay some guy to teach me spells, or beat the mages guild.
And being able to hide spells from your spellbook, it gets too cluttered too quickly.
Also getting the little bits of money is too easy. Obviously getting more money than you know what to do with is a problem, but that's been talked about extensively enough; have rare and expensive items actually be rare and hard to get or find, or have shopkeepers have small and slowly-replenishing amounts of resources, or have shopkeepers only buy a daedric sword once every few months until he can use it, et cetera. But especially if sleeping and eating becomes a necessity (at least a toggleable option hopefully), and you have to pay 15 gold per day for room and board, exploiting the fact that shopkeepers will buy 9 clay pots, 7 forks, 6 full sets of low class clothing, and 15 rusty iron daggers becomes much too useful. Selling this gets you nearly 75 gold, whereas realistically, the shopkeeper would have bought much less from you simply because he's never going to find enough people to buy all these useless and crappy items.
Might help to make 100 gold rewards for quests amount to more than the useless items you picked up on those quests. And why would there be beggars if money was that easy to get?