The seasonal shifts and weather systems. Why those are left out of games now-a-days I don't know.
Climbable walls/barriers. Levitation.
Usable clothing is neat as it is, but if they would have had enough time to been able to implement it in the way they wanted, where putting your hood up would have hid your identity when going into a town that is warring with your province - or making it so guards wouldn't instantly recognize you if you are a criminal, the more expensive clothing giving the upper-class people a good impression of you while the peasants might dislike you a little more and visa-versa, the khajit suit improving your stealth ability, cloaks protecting your from negative effects of cold weather, etc would have been phenomenal.
I liked the Daedric summoning system too. Requiring lots of gold, specific days of the year, and sometimes even specific weather effects. You had to plan ahead for them. Not to mention you either had to be a high ranking member of the mages guild or temple, or randomly come across a very elusive witches coven in the wild...it really makes the recent verion of TES "summonings" seem shallow.
The holidays in general were pretty cool, depending on the day, shops had discounts and temples had free healing and whatnot.
The way certain guild quests may conflict with other guild's that you may be a member of, forcing you to choose and deal with the consequences.
Also the way you really had to work your way up a guild's hierarchy, you couldn't just run a (very) few quests and find yourself at the top. It's almost impossible to be the head of multiple guilds. I liked that.
The vastness of the game-world itself. A single city could seem nearly as big as 1/4 of the entire game-world of Oblivion.
The way the game made you feel like just another person in Tamriel, the world doesn't revolve around you.
The way lycanthropy and vampirism were handled.