Everything in the game wowed me except textures... I'll start with the little things all the way up to the awesome things:
1. I was riding my horse in the Rift and I saw a guy sitting on the road, I talked to him and he said bandits attacked him and asked if I could help him get back to his camp. I agreed and followed him to the camp, once we arrive he says "Wait here till I get your reward". 5 seconds later he comes back and attacks me with all the other people in the camp, dunno if this was scripted or not but either way I really liked it.
2. Ants on tree stumps, butterflies that act realistically, animals that prey on others, and the awesome awesome bears all add to the immersion.
3. Orc drug dealers, couriers giving me letters, guards telling me a dragon has been spotted recently and marking the location on map, Dark Brotherhood sending assassins after me, etc...
4. The NPCs react to what you do, where you've been, etc... Try using Shouts or Spells in the city for example, the guards tell you to stop. Or if you are carrying too much they tell you to go to a certain shop and lighten your load there. Or if my stamina is low or I didn't sleep for a long time they comment on how tired I am.
5. First time seeing the Shrine of Azura, Winterhold, Markarth, and basically every other place in the game
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6. The "A night to remember" quest was really fun and surprised me a lot, didn't know Bethesda did these kind of quests. Other Side Quests are pretty good and not short at all, I like this. I only joined the Companions, their first few quests were great but soon they became dull and I stopped doing them.
7. The Main Quest surprised me too, I never played TES so I've heard how much their MQs svck. Fallout 3's was kinda bad. I've only done the first few quests in Skyrim but they were all great and I always look forward to the next one.
8. The voice acting, music, sounds, scenery, environments, and models. A masterpiece. (Though the textures are terrible, just saying)
9. Dunno about other fighting styles, but a Sword & Shield combo is very fun to play, specially with perks for both. I was expecting swordplay to svck, I really should start trusting Bethesda from now on
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10. And the best moment of all: Going to fight the first dragon near Whiterun, with Faendal and 5 other guards. This was also the first place where I experienced the Northern Lights. Epic dragon fight, epic music, epic nighttime, epic Aurora, and when the dragon died and I absorbed its soul, this game became the #1 game I've ever played. Thank you Bethesda!