Nothing, except Cyrodiil itself and a few sentimental quests and characters. Skyrim is kind of a literal sequel to Oblivion in that it has everything its predecessor had, but improved in every conceivable way and with more content to boot. Sorry.
Hard to say since i haven't played Skyrim yet. It seems it has most of the things i liked from both Oblivion and Morrowind. Ofcause there is some things i do not know anything about yet like the Arena. Yes i would definitely miss the arena.
I'll miss Lucien Lachance, Patrick Stewart & Sean Bean and the comic relief that the faces and voices that some of the NPCs bring (most Bosmers comes to mind xD)
Other than that, nothing. If someone liked Oblivion, they are going to LOVE Skyrim. I just hope that they expand upon that and make it more hardcoe.
I don't think I'm going to miss anything from Oblivion. I will miss some of the things that were in Oblivion - attributes, birthsigns, spellmaking and athletics and acrobatics skills, to name a few - but I wouldn't have wanted them done the way they were done in Oblivion anyway. I just would've much preferred that they be rethought and rebalanced rather than simply thrown away.
I don't think I'm going to miss anything from Oblivion. I will miss some of the things that were in Oblivion - attributes, birthsigns, spellmaking and athletics and acrobatics skills, to name a few - but I wouldn't have wanted them done the way they were done in Oblivion anyway. I just would've much preferred that they be rethought and rebalanced rather than simply thrown away.
Attributes haven't been completely "thrown away" and spellmaking is not confirmed to be out. Hope that eases your worries a little bit.