-No fast travel markers available at the start of the game.
-More meaningful NPC<->NPC conversations, recognising who they're talking to.
-Interesting 'dungeons' that make sense. Most of Oblivion's forts and ayleid ruins don't look like anyone ever lived in them, the layout often made no sense. Fallout's dungeons looked as if people actually live(d) there, and there are often a few hints of what the place was like in the past.
-Encounters and quests found outside of cities and settlements (more people on the road).
-Fallout 3 added choices. Skyrim should take it a logical step further and actually add real consequences to them.
-Companions.
-Keyring for sure.