With the exception of Battlespire, I believe every ES game started us off in a prison cell/prison ship. Is this still going to be the case? If not, I would really love to see some kind of pre-story "options". Maybe you were an argonian/khajit slave escaping across the border into Skyrim from Morrowind...
Of course, all of these would be based on race, or just a choice you could select before you start. I wouldn't mind a little variation in starting. I really enjoyed the "origin" stories in Dragon Age that let you define yourself a bit when you weren't the glory-seeking adventurer yet.