Well, to be honest the series have been moving backwards in terms of depth as an RPG since Daggerfall. For every cool thing they add to the mix, they take out complexity from the central systems.
I would personally like to see them restore a lot of the old skills an "guilds" (including things like the orders of Knighthood, multiple religions, and similar things). I'd also like them to take a more "M" rated approach to games again and cater to that. I remember when games like "Daggerfall" included censorship options for parents to "protect their children" or for the easily offended to remove or censor the naughty/intense bits. I think they have been pulling too many punches and not exploiting what new technology can do for a truely 'M' rated experience. Basically I want the old Bethesda's attitude back.
I would also like them to rehaul the magic system enough where it becomes viable to fight battles entirely with magic more easily.
Oh, and I want the dwarves back. With no offense to the politically correct out there, I just never thought the new version of the "Redguard" fit in. Not to mention calling a province "Hammerfell" sounds dwarven and not carribean, and let's be honest... the Redguard are based on Carribean-style pirate fantasy, with the european elements being presented as indiginous to the native Carribean islanders.
That's a touchy subject, and a lot of people have brought it up before. I however think a "return of the dwarves" is a good idea, and renaming the current "Reguard" something else and then putting them in an island chain somewhere (if they must remain) is probably the best design desician.
Also, PLEASE take the time to generate new books and such, and a ton of them. Put in the work, don't just recycle Morrowwind's library.