One thing I'd like to see is a different approach to the game scaling with level. In Oblivion, I found to be rather unexciting and a bit unrealistic. At higher levels, simple creatures like wolves or rats or goblins were rarely seen. Everyone you encountered in caves, etc, had all the best type(and supposedly rare) armor and weapons and to me this took away from the game a bit. Conversely, you couldn't really test your wits and skill against a foe that was vastly superior. I like being able to go on an adventure to places I know ought not only to meet face to face with a minotaur, and to reap the rewards of exceptionally better equipment and loot should I prove able to out-perform it.
Another thing I'd really like to see is the returning of werewolves, specifically with the risk of becoming infected with lycanthropy. Vampirism is fun and all, but becoming a werewolf was always just more enjoyable. The benefits were good, and the side effects, while very problematic if you didn't pay attention to what happened, were also pretty entertaining. I recall in one of the previous Elder Scrolls installments, a full moon caused you to transform into a werewolf and simply lose control of your character, forced to watch as it ran rampant in search of prey(regardless of how much stronger it may have been) and attempt to ravage it. It also made provisions so that no one was aware you were a werewolf unless your transformation to or from wolf was witnessed, turning them hostile. The occasional band of werewolf hunters arriving to attack you was also rather fun.
While I've read about some of the changes to the magic system, I still like the ability to twist or manipulate spells and effects. I agree that it felt too spreadsheeted before, but being able to mix effects and severity gave you some flexibility to prepare for some situations. Plus is was just really freaking cool to fire an immense(though weak) fireball that you could see erupt from miles away.
On the subject of magic, while it sounds like this is already in the works I'll mention it anyway. Environmental effects would be delightful. A fireball in forest should set bushes and trees ablaze. A blizzard spell freezing a river or lake to make it temporarily possible to walk across, etc etc. It would be nice to have the elemental aspect of magic usable for more than merely combat. Using lightning to clear a tree from your path, frost to free lakes, fire to... uhm... hmm... burninate things. Strictly for convenience sake, of course. Maybe melt a frozen lake out from under opponent or something.
Selling stolen items to merchants would be nice, too. It seemed unrealistic to me that if I were to steal the pewter cup(klepto much?) of someone in city A, that the entire region could recognize that pewter cup as belonging to the Earl of Faildor. If it were his prized one of a kind sword of ultimate oblivion, perhaps. At the very least, I should be able to travel to another city to sell my stolen goods. I can see the merchants of the same city hearing of the theft and being on the lookout, but beyond that I don't understand how every single merchant in the entire region could know of and recognize it.
The last thing I'll mention is size. For the love of all things holy, please keep the game immense. I'd rather have weak graphics and the game mammoth in scale, over looking fantastic but a fraction of the size of it's predecessors. Being able to literally explore areas for hours and find non plot-related foes, stories, and dangers to explore is an aspect of the games I've always enjoyed.
Okay, so. I've ranted on plenty long and if you've taken the time to read all this, well... thanks! What things do you want to see new/different in Skyrim? Or what is important to you that they -don't- change? Please, share your thoughts as well!