I'm pretty sure I'm not about to say anything that hasn't already been said either here or on one of the other threads, but the massive geek in me can't resist. Brace yourselves for an essay ;-)
-Fix the animations. Jumping... fighting... even WALKING just looked ridiculous in Oblivion. Make characters move and physically behave in a realistic way.
-MORE VOICE ACTORS. And far more varied dialogue would be brilliant. Not just every NPC having the same inane conversation about how foul mudcrabs are.
-Lots of quests, and keep them interesting. The quest where you had to enter the painting in Oblivion to rescue the painter from all those trolls was wonderful, and the Dark Brotherhood questline was fantastic fun. Varied, challenging, well written/designed quests are at the core of games like this.
-Speaking of quests, let's have a main storyline which is actually interesting.
-More varied dungeon environments. Keep the caves, castles and Ayleid ruins from Oblivion, but give each dungeon its own feel and personality. Don't just force us through the same environment with a few different corridors here and there 100 times. Dwarven and Daedric ruins would be cool, as well as proper, dedicated bandit hideouts (as in, makeshift fortification and crow's nests for archers, with more of the log/chain traps and tripwires seen in Oblivion). Also, give dungeons appropriate loot. For example, Dwarven armour in Dwarven burial tombs. Bog-standard iron and leather armour in Bandit hideouts. And in Daedric ruins, give us a few surprises. Perhaps unique and strange items/weapons as rewards for getting through such harsh areas.
-Make towns/cities feel big, rather than just hovels with some unreasonably impressive architecture.
-Improved AI. By this I don't necessarily mean making characters smarter-guards were practically bloody psychic already-but making the AI more realistic depending on character. For example, bandits are hack 'n' slash brawlers who crowd you and go for yor weak spots with little skill, whereas trained guards, mercenaries and treasure hunters use more tact, evading your attacks and being defensive as much as offensive. If you steal something from someone's house or murder someone quietly without being seen, no-one should be arresting you as soon as you step out onto the street. Have people react to you depending on how you've treated them in the past, not just snarling at you for pickpocketing them one second, then smiling and laughing at your jokes the next. This leads nicely into my next wish...
-MAKE CHOICES MATTER. Can't stress this enough. Depending on how moral/immoral we are, have ths change the quests we get offered. Why would honourable, upstanding citizens ask you to do them favours if the news that you're a killer and thief is well known across the land? And conversely, why would shady, sinister folk ask some renowned goody two-shoes to do a bit of dirty work for them? Wanted posters for you should be in every town/city if your infamy gets too high. If you're being too nice then your behaviour should warrant ambushes from unscrupulous bounty hunters hired by people you've pissed off. This choice and consequence system should stretch to factions we can join as well.
-Speaking of factions, we need more! It's all well and good having the basics (Fighter's Guild, Thieves Guild, Mage's Guild, etc.), but let's see some more niche ones too. Vampire hunting was possible in Oblivion, but you could never officially join a faction for it. Imagine taking a few of your fellow vampire killers to some old ruins in the dead of night, staking and burning the undead as they rise from coffins and dart around disappearing into mist and reappearing behind you, or whatever. Also, a new assassin's guild would be interesting; one with a more "the death of one to protect many" creed who only targets those who they feel are harmful to society alive, rather than the Dark Brotherhood's obvious enjoyment of murder and lust for blood. Joining bandits would be good. You could set up ambushes for tradesmen and fight other bandit groups.
-Werewolves/Vampires would be really sweet. Vampires as in Oblivion, but handled better this time round. Several quests that can only be unlocked once you've become one, and possibly another faction full of other vampires that help you to control-or give in to-your bloodlust. Lycanthropy could have a a similar faction and set of unique quests too.
-More varied weapons and armour. Give us spears/pikes, ranged weapons such as throwing knives/axes, and longbows (more accurate and damaging than normal bows, but heavier to carry and slower to use). Give us armour made of Dragonbone, and allow us to forge our own if we find the right equipment.
-Concerning dragons... yes, they're awesome. yes, I'm excited that they're going to be in Skyrim. And I'm bracing for impact here, but... making them rideable would be a mistake. Where would you put them? You can't exactly tether a dragon to a post like you can a horse. At the very least have dragon riding as part of a quest or something, rather than a mode of transport we can use at will.
-Mounted combat wouldn't really add a lot to the game as far as I can imagine, but it would sure look cool. Especially if you could kit your horse out with war armour and use it to trample enemies before skewering them.
-A kind of 'hardcore' mode as seen in Fallout: New Vegas. Constant food, drink and sleep is required, and if you're going up into the freezing mountains for days on end wearing skimpy leather armour you're going to die of hypothermia eventually.
-Change the levelling system. Powerful new weapons and armour should FEEL powerful. Levelling enemies along with the player sounds OK in theory, but in practice it means that in the grand scheme of things you're never really progressing. If I get my ass handed to me by necromancers at level 3, let me go back to their hideout at level 15 and slay them all with minimal effort. Feeling challenged in places is very important, but feeling like a badass against weaker enemies as you progress through the levels is great too.
-One final thing: DLC across all platforms, please. I never got to visit The Shivering Isles because I didn't get the Oblivion GOTY edition and it never came online on the PSN store. It would be a real shame to miss out on something similarly new and interesting just because I didn't buy the game on the right console.
Sorry for the massive length of this post. There is actually more I would want to see, but I'm aware I'm probably becoming boring. ;-)