1. Smarter NPC's. In every game, NPC's are just plain idiotic. I shoot a bear with an arrow, it chases me, I run into the river, it runs away. What? Aren't bears supposed to be good swimmers? Also, in every game, NPC's have never been able to jump.
2. Quest markers should be optional. If the characters and journal give enough details, we wouldn't be forced to use that magical arrow that points us directly where we should go.
3. Return of attributes and lost skills.
4. Spell creation, and the return of spells that have been lost, such as Bound Armor.
5. Deadric items should be more epic. I never use them in Skyrim because I can craft something better. At the very least, they shouldn't lose their charge.
6. If dual wielding or fighting unarmed, the right hand should be used for attack, the left for blocking. Or there should be some other button for blocking. (Shout button will be open for some other use.)
7. Introduction of some of the many races who haven't been seen yet, even if they aren't playable.
8. Important characters could be killed, as in Morrowind, but a warning pops up informing you that the tides of fate have been broken. Perhaps there could be an option in the settings to turn this on or off.
9. Non-canon endings. Rather than forcing me to do something, allow me to choose a different path. Bethesda wouldn't have to worry about incorporating it into the lore, because it wouldn't be canon.
10. Actions should have a much, much greater affect on how people treat you. Not just the occasional stupid comment from a guard. "I know you. You're the new member of the Companions. So you, what? Fetch the mead?"
11. Fast travel should only be available via carriage ride, teleportation services (like in Morrowind), or something similar.
12. Weapons and armor should wear down SLOWLY with use. For more realism, weapons and armor shouldn't be invincible. But they also shouldn't break too often, as they did in Oblivion.