I'm a big fan of the lighting. Although it looks primitive to today's standards, the flicker from a home onto a nearby building at night looks atmospheric.
On the issue of lighting, I love how the interior windows become darker in the evening. For example, you start some training at a guild during the afternoon, when the window has light. You finish around 19:30, and the window has become darker. To me those elements really add a lot to my enjoyment of the game.
Even the repetitive 2 second background cricket loop that plays during the night adds to the tension.
When it snows (such as in Morning Star), it's great how all the buildings and trees are covered in snow, really adding that changed seasonal element to the game.
The text that briefly appears every time you enter a cemetery always has vivid descriptions.
I like how enemies appear when they're aiming their bow, release it, and you then hear that whoosh! of the arrow flying by.
It's great how many of the clothes can be altered by 'using' them, as this gives the player more flexibility for their characters' looks.
The way your head bobs when you get hit by an enemy or fall from a great height feels realistic. I also like that sound when falling from a height, it makes you feel like you've just hit a stone floor really hard.
When you die, I think it's really cool how you slump to the floor, and the last thing you see is the enemies legs. Much prefer that to Morrowind where it zooms out to 3rd person.
And of course the music. While I don't think that's a little touch, as it's a prominent part of the game, it is wonderful how different places, times and weather each have their own music. The music is a serious boost to strengthening Daggerfall's atmosphere.