For me, there are few things:
1. Lone Wanderer stories - stories about lone heroes who wander the world alone and changing it with their actions have a certain charm for me. It also allows me to make whatever story I want in that world, without companions who would break that feel to me (as they can't possibly know what my characters want to do)
2. Freedom of character background and motive - while every TES game gives you a main quest you need to complete, it tries not to make background for your character (besides Daggerfall but seeing that the generated background tends to be lore-breaking sometimes, it is more immersible to pretend it is not there anyway) nor give you a reason to fight. Are you fulfilling the prophecies in TES3 to save the Dunmer, to increase Imperial power in Morrowind or to avenge betrayal of Azura or something completely else... it is all up to you
3. Exploration of the World - even Arena, which is usually non-canonical can be fun to explore for me: whenever I arrive at a province, I go to Imperial Library to learn about it and then imagine how it looks to my character and how he interacts with its people there
4. Lack of Proper Dialogue - in past, I hated the fact that TES dialogues were more of gaining information then a proper dialogue. These days however, I prefer them like this: while normal dialogues may look more immersible, TES-style dialogues allow me to imagine myself what my character said and thus I find it easier to fit my character
All above mentioned points create one big reason of loving TES for me: complete freedom in character development. In no other RPG do I like my characters more then here, mainly because the games allow me to create whichever character I want... and create a destiny for them that I see fit (like creating a story of Holy Knight who falls into darkness step by step and in the end goes insane and become a Madgod (OB) or the evil wizard in MW who enjoys the thought of dooming Morrowind and its people and who served Jagar Tharn in past, trying to hunt my Arena characters down and making his task harder then it normally would have been)