#1 Player Skill vs Character Skill
In Fallout New Vegas your character is limited to what he or she can do, by his or her skills and SPECIAL. In Skyrim a character with level 15 lockpicking, can pick a master lockpick even without the perk. Fallout New Vegas not only has a skill requirement for weapons, but also a strength check. If your character doesn't have the skill requirement, you wont be as accurate. While if you dont have the strength requirement, you swing slower or again not as accurate. In Skyrim a Khajjt with the weight slider at 0 and 15 Two Handed skill can swing a warhammer exactly the same as an Orc, with the weight slider at the max and 100 Two Handed skill.
#2 Perks
Most of Skyrim's perks revolve around a meager plus % X. The few perks that don't have an arbitrary % are useless, like Longknife mentioned the sword, mace, and axe perks are useless. You don't need the master perk to cast master spells nor do you need the master perk for lock picking to pick master locks. However, Fallout New Vegas a obviously superior game has perks, that unlock dialog and game features. Without Stay Back you can't knock people back with shotguns, without Cannibal you cant eat people, cant paralyze people without paralyzing palm, and etc.
#3 Motherbleeping Choices (?)
I'll be frank either you're Dragonborn or you're Dragonborn in denial. Right out the gate you know dragons are back and granted you don't know you're role in the prophecy, yet at the same time where are dragons? Sure you see the main baddie in a anti climatic fashion, but until you start the MQ you don't see any dragons only hear they are back. Oblivion while you witness the death of the emperor, you dont know or hear about the oblivion gates opening and Dagon coming back. Though in New Vegas you're forced to get shot in the head, you don't have to go after Benny. Sure you confront him, but you don't have to kill him and you can even help him escape. Skyrim lacks such choices.
#4 DLC
Dawnguard is pretty much the civil war with vampires, Hearthfire adds the only RP elements to Skyrim, and Dragonborn is a homeless man on fire's Lonesome Road.