personally, what i miss most is morrowind's level of freedom and customization choices...
i liked being able to unlock and enter every single door in the game [from what i remember, anyway] if i was a good enough thief or mage... wasnt possible in oblivion, since half the doors in the game required keys, nothing else could open em... and half of those doors' keys didnt exist!
i also enjoyed being able to slay anyone i wanted, etc... if i wanted to break the main quest, let me! they could work around children, if you slay their parents, the kids just vanish from town, like in fallout 3.
the customization choices... i miss pauldrons and seperate gauntlets... i miss being able to mix and match clothing with my armor, too!
also, theres one thing i wanna keep from oblivion... GRABBING THINGS!
i loved the ability to interact with the environment, and play with corpses, so i hope bethesda keeps that in... i wanna play with dragon corpses and centurions!