I don't care so much about a death cam, but I'd like to see the vanity cam return.
Can't remember if Oblivion had this or not(?) but I know Morrowind did. If you just let your character sit for a little while without moving or touching a key, an external camera view of your character would appear, slowly rotating around to show your character within his surroundings. Which was good for screenshots and whatnot. Always a nice feature.
You didn't need to wait, actually. Pressing the third person key would allow you to go into a third person view where you can see the game from behind you're character, and holding it down would allow you to rotate the camera around you're character, and Oblivion had this too.
I'm wondering though if NPCs can also get finishing moves when they kill you, if they can, I'd definitely like to be given time to see how they kill my character. Possibly instead of just a load menu automatically coming up like in past games, you could sit there and watch you're corpse for a time and a small, unobtrusive but still noticable prompt would come up saying to press a certain button to bring up the load menu or something. Some games can give players great fun in watching how you die, and if Skyrim allows players to die in amusing ways, I'd definitely like the option to watch it.