I like sneaking into caverns and overhearing the bandits' conversations. For example, I walked into a mine near Riverwood I think, and one bandit was telling the other, "Don't worry - we're safe here. There's a guard outside. And don't forget about that rock trap." And sure enough, there
was a guard outside, and also a rock trap. The other bandits also had something interesting to say when I lowered the the bridge.
I like the butterflies and torchbugs and the fact that you can catch them.
I like how interesting some of the side quests are.