Hm... In no particular order (sorry if these aren't the most original ideas hahah):
1) More factions, and faction membership that matters. In Oblivion, the faction selection was rather pitiful (as a Morrowind vet), and one could easily join all of them and be the head of every organization, nearly regardless of skills (e.g. a Thieves Guildmaster who is about as subtle as a clinically insane elephant coated with fireworks), with none of the factions interacting (no reputation penalty or outright rejection due to which guilds you are involved in). Also, make your rank in a faction actually MEAN something, as opposed to being an Archmage and just receiving a bedroom with a few free herbs now and then and a shiny robe.
2) Wider variety of equipment. Like everyone said, PLEASE bring back throwing weapons, crossbows, polearms, all those old standbys (and maybe fist weapons?
). It adds so much more flavor to the game, allowing you to really create the character you want to create. Also, I'm really hoping the undid some of the lumping-together of weapon categories from Oblivion (blunt axes, daggers and claymores using the same skill, that stuff). The old system of various individual pauldrons and such would make customization more interesting, as would the good old shirts under armor, robes over, etc. Medium Armor and Unarmored skills would also be fantastic, especially unarmored.
3) Easing up of level scaling. Everything being the same level as you really made leveling feel much less significant, and everything at higher levels having a ridiculous amount of HP made the game tedious, not 'epic' or fun. Leveled quest rewards also made getting quest rewards at lower levels a pain, as you would quickly outgrow your Awesome Dagger of Emasculation which you sought after so. It's also much more interesting to find places where you WILL be outmatched if you're weaker; it makes the game exciting and your experience relevant.
4) Better questing/narrative. A compelling story both in the main quest line and in side quests would make the game exponentially better as a whole, and what's even more important is the element of choice. In Oblivion, linearity was the norm, with very few exceptions, and often the path of the fighter was favored, and this was true somewhat often in Morrowind as well, in all fairness. There need to be choices in the various storylines that are actually significant and cause changes, and multiple ways to go about each quest, a la the Fallout games (more the original two than 3 and NV), where there are many different skill sets that could be useful (killing all of the goblins in the cave, or using your magic to destroy the support beams, or using alchemy and stealth to poison their food supply, OR convince (with using speechcraft/barter) some other schmuck to do it for you then lie-- you get the point!). Of course, how you go about completing a task will in itself have ramifications.
5) Better stealth/assassination/crime. Oblivion was definitely a step in the right direction, and there's so much building off of that system which could be useful. Thief-esque water arrows to extinguish torches, ways to create distractions, etc. Assassinations should be stronger at higher levels, as the aforementioned massive health pools made trying to stealthily kill anyone nearly impossible. Just increasing the power of stealth attacks (maybe in line with sneak skill; a master of stealth can dispatch stronger enemies without provoking a direct confrontation) and adding automatic stealth kills against sleeping/unconscious targets would dramatically improve this system. Speaking of which, fix the "alarm system" or crime reporting (i.e. no more psychic guards) please. Taking
two stabs with a dagger to kill someone on the outskirts of town leading to every guard in the province searching for me for murder is ridiculous and takes so much fun out of the game. Also, bring back the Morrowind system of contraband (shopkeepers can't automatically tell your goods are stolen, unless they belong to the shopkeeper in question). Psychic detection of "hot" property made zero sense and was too restrictive.
Alright my wall of text is done! There are other things I would like, of course, but those are my five I thought of now. Also, R.I.P. Mysticism... =(