I felt like nothing I did in Skyrim mattered. In Oblivion I would walk around and people would yell things at me like "You're the hero of Kvatch!" or "It's you! The Champion of the Arena!"
In Skyrim it was pretty public knowledge that I was dragonborn throughout the main quest, but no one seemed to care. I was leader of the companions and no one seemed to care, I destroyed the dark brotherhood, and subdued the Stormcloak rebellion and no one seemed to care. That last one no one even seemed to know about. What people did say to me as I strolled through the streets of Whiterun was "You look diseased."
Basically, the setting of Skyrim and what was going on in the rest of Tamriel made the game feel post-apocalyptic, the apocalypse being the Oblivion crisis. Everything seemed to just be wearing down and stopping, with no one really caring about what happened next.
And Alduin was a piss-poor villain. His motives were totally vague and it seemed the writers just thought that him being a dragon was sufficient to making him feel like a threatening villain. But since I never understood what the hell he was trying to do (end the world? Eat all the dead people? Enslave humanity?) I never really cared whether he died or not, and didn't feel like I had accomplished anything by the end. It just kind of...ended.
In Oblivion I felt like there was a major threat to all of Tamriel. The emperor was murdered and it was up to me to gather armies to go and defeat the deadric lord of destruction, the biggest most powerful daedra there is, Mehrunes Dagon.
In Morrowind there was an ancient mysterious prophecy that apparently I was destined to fulfill, and I had to unravel the culture and history of this unique and strange land.
In Skyrim, I had to go and put down what was a pretty insignificant rebellion, and then I had to kill a dragon I had never heard of in any of the other games. And at the end, no one seemed to recognize that anything had happened.