The graphics have improved, the combat has improved, and the skill system has improved. I will give the developers credit for those things definitely. There are many things missing though and many things that could've easily been improved. Yes, I understand there are mods out there for pretty much all the bad things I'm about to mention about Skyrim but I refuse to become complacent about the poor job the developers have done in Skyrim.
Character Creation:
I think the RPG element to creating your character is virtually gone in Skyrim. Morrowind had major/minor skills to specialize your character towards a specific type of gameplay, you could get them all to 100 in the end but I think it proved far more difficult getting them there. If I wanted to be a mage I could set most of my major skills towards magic and if I wanted to hack and slash I could choose from a variety of melee skills (spear, shortblade, longblade, axe, blunt weapon). Now all the weapon skills are grouped together and the spear skill is gone. I could create a hybrid, I could give my character a background description, I could customize my class to my liking and even name it. I think the worst part was designing your character's face, there wasn't much difference in the changes you made to certain races. When I first played Skyrim I probably spent about 40 minutes just messing with the settings for creating my character's face, guess what? My Dark Elf still looked like an old, angry man in the end. The racial abilities for almost all the races are extremely useless except for the High Elf and the Dark Elf if you were to become a vampire.
God Mode:
I think Morrowind was the most difficult modern Elder Scrolls game by a longshot compared to Oblivion or Skyrim. I had difficulty killing a mudcrab when I first started and had to lure it towards guards to kill it or something else on occasion. Both sequels to Morrowind have become the exact opposite to that, I think they have become easy even on master difficulty. Even at the beginning it's not too difficult and by the time you get enchanting to 100 which is fairly easy you essentially have god mode on. No enemy in the game provides a challenge anymore and the game loses its appeal.
Menus:
This is a big one for me. For something so simple it honestly gives me a headache as I play. Storing items for instance is incredibly annoying, they simply aren't categorized into weapons, apparel, books etc. like they are in your inventory. Some items are in alphabetical order while others aren't, it makes it incredibly annoying to navigate through the tons of items you've picked up. I think they did a great job with the journal, but the other menus are pretty horrid and not just in aesthetic appeal. Morrowind's menus were the most easy to navigate, not only that buy you could make them larger or smaller, move them around to your liking, remove something entirely if it wasn't necessary, and you could actually view how your character looked in the menu as you applied different pieces of equipment. You could also see your character's name, statistics, skills, ranks in factions(which have been removed unfortunately), your character description, and class. One last thing in regards to menus, why can't I hotkey dual wield weapons? I can do so with generic weapons but not with enchanted weapons, and I have to go into the "quick menu" or into my inventory to dual wield every time I switch to a spell.
Perks/Skills/Spells:
These have improved in many ways since Morrowind but some have also become unchanged or removed. What happened to making your own spells and naming them? Where is open expert locks, feather, and levitate. Why is destruction, speechcraft, illusion, and alteration still completely useless? I like that they introduced wards into alteration, but it simply isn't useful when you have a shield and magic absorption 70%(God mode), not to mention some overpowering enchantments. Destruction simply doesn't do enough damage and wastes too much magic to be useful. In Oblivion it was useful assuming you raised it pretty high and could absorb magic, that plus you could create stronger spells, some which were overpowering. Speechcraft? It's always been useless in every elder scrolls game. Conjuration has very few summon options now, but I did extremely like the fact that you could raise NPC's as permanent followers.
I think the devs need to take a tip from some prominent modders, they seem to have done a better job in many of these aspects. If anyone has similar issues with this, take a look at Skyrim Nexus for mods. Skyrim Redone is my favorite to date, it makes the game more challenging and better in many ways. All the skills are useful, speechcraft improves shouts, you can build dwemer constructs with alteration, you can build skeletons with conjuration as if you were a necromancer and there are far more summons. All races have useful racial abilities, most things that are overpowered or underpowered have been fixed including destruction. I could go on, but some of the things I've mentioned here are very simple improvements as I've said before and I hope the devs put a bit more effort and thought into the next elder scrolls game.