The first one is what I think is the most obvious and something that seems to have a new thread on these forums every other day. hardcoe mode. We could call it survival mode or whatever term you want to use, but it needs to be there. As an option. Plain and simple. This alone adds so much immersion to the game. I think the hardcoe mode for Skyrim should go as far as eliminating the use of fast travel as well. Either way, there needs to be an option to turn on mandatory eating, drinking and sleeping in Skyrim.
The second thing is something that didn't get much attention but was a wonderful addition. Skyrim needs disguises. Just like in New Vegas, if an enemy got too close to you they should be able to tell. But we should be able to put on imperial armor or whatever it may be in Skyrim and walk around palaces without being questioned. This would add a whole new element to the game and greatly benefit sneak characters.
Custom and hand-made weapons. I loved finding all the parts to make custom weapons in Fallout. It gave the custom weapons that feeling of uniqueness that other weapons did not have. It was also nice to be able to break down ammunition in New Vegas and create our own. There should be ways to break down arrows or swords and add your own blade, handle or arrow tip. This would again, add a huge, new element to the game.
Warring factions. Although this will most likely not be in Skyrim, it would be nice to have factions that hated one another that you had to choose to be a part of. In New Vegas there came a time where you had to choose a side and there were consequences for doing so. We all know that this won't happen in the main quest but it seems entirely possible as side quests. Maybe a DLC could add some elements of this after the game is released.
There are probably more that I'm not thinking about but I feel like these would benefit the game tremendously. Any other Fallout players that have ideas feel free to include them, I'd like to hear what you guys think.