Power Armor.
...okay, not really. In all seriousness, I love Elder Scrolls, and love the Fallout series, so FO:3 was beyond up my alley. Hell, I'm on my fifth playthrough now.
If they were going to carry over anything, I think there's a handful of big ones.
1) Choice. Say what you will, but in Fallout 3, you could choose to save or damn the whole game world several times over. And you felt it, in everything from the communities that welcomed you to the folks who would hunt you to Three Dog praising or damning you on the radio. Sure, the ending was a giant suckfest on toast, but compared to Oblivion's sit-here-while-we-deal-with-the-end-boss-for-you anticlimax, it worked for me.
2) Interaction between factions. Even when it was just dialogue, you felt how much the Outcastes and Brotherhood hated each other, how much the slavers hated almost everyone, the idea no one teamed with the raiders because most of them were flat-out insane on top of being evil- seriously, chat with everyone in the Pitt, these guys need some counciling -and in the actual game world, you saw that when two sides might violently be slaughtering each other. You never really got that in the latest installment, bar the whole pseudo-rivalries in Shivering Isle. The feeling of trust, or distrust, in the Capitol Wasteland made it feel real, and like the characters were more than just set pieces.
3) Dialogue between NPCs that does not suck or make me think the AI is drunk.
4) Dungeons and the like that feel unique. Seriously, there's only so many times I can go underground and be greeted with the same old stonework. Ruined delves in FO:3 were their own stories; you could get the feel for not only what it had been before, but what had become of it since then. In Oblivion, not so much.
5) Genuine benefits for success. In Oblivion, the only quest lines I felt gave that were the two main DLCs, and even then it was extremely limited. There were times post-Shivering Isle I seriously wished I could have my character start sceaming 'I AM A DAEDRIC PRINCE, YOU FREAKING MORONS!'. In Fallout 3, completing quests gave you new radio stations across the wastes, or a home, or decided whether the Wasteland would be poisoned or not, or gave you access to a renewable source of new ammo. When my crazy evil character entered the den of the slavers, they gave her gifts to keep her from shooting the place up. When my hero of the wastes came home to Megaton, the thankful people would do the same out of gratitude. When Three Dog reported on my daring deeds, I could imagine word spreading across the wastes and beyond. Could it have been handled better? Hell yeah! Was it a damn good step in the right direction for a sandbox title of this magnitude? Totally. If I'm the head of the Fighter's Guild, or the Champion of the land who saved it from destruction, or what ammounts to a GOD OF MADNESS, I expect that to have more of an impact when I travel around then getting a couple new items.
6) A leveling curve that doesn't punish me for playing my character. Seriously, in Oblivion, I found myself making characters expressly designed so their main stats would be in things I'd never use. My 'roguish character with a preference for light armor' used heavy armor and magic constantly in combat, just to avoid the game steamrolling me while I *gasp* explored the world and did various quests! How dare I!
7) Perks. Yeah, I know it's a Fallout thing, but it works. Hell, D&D did it with feats. It's the same concept; use a system where leveling means more than just maxing out skills, where you can get special benefits only by picking them at leveling up. Combining this and 6 might make my character less afraid of beds then he is of hordes of Daedra rampaging across the land.