You don't need rivers to have beautiful waterfalls.
http://www.lapthop.com/technology/international+architecture+competition+olympic+gam
But yeah, some improvements to water in general would be awesome:
* Sea with actual waves depending on wind force.
* Maybe tidal forces depending on moon.
* Rivers with steps and local flow direction and forces of it you can feel.
* Small steps with moderate flow speed, some with fast flow speed.
* Large falls, creating a lot of mist.
* Local spin vortexes that svcks you down.
The problem about doing this in Oblivion (and most computer games really), is the extreme variations in the landscape pretty much making sure there would be nothing but steps due to lack of flat enough areas. Other than ad hoc rivers possible from mountains, I can only see one possible river in Skyrim. Located at the east end, I sure hope I'll be able to see Vvardenfell and it's mountain region from the coast (if map is that big). Even if I'm not going to be able to swim across.