My two:
More underwater life/scenery. It seemed odd that Oblivion only had one type of fish, and just some reeds for plant life. I'll never forget in Morrowind, I think I was swimming to Solstheim and found a shipwreck that wasn't very close to land, and I almost died exploring, but it was interesting and unique.
Visual bleeding/blood splatter your character- Kind of like Dragon age, but that was a bit overkill for blood splatter. But it would be cool to see your character get cut up, and dripping blood in the snow after an epic fight.
What do you want to see?