More intense spell effects (visually), along with more variety of spells.
A world bigger than Daggerfall - I know they said they wouldn't do that, but I personally want it.
Big cities - they can be crafted in advance, but I mean biiiiiiiiiig cities, with hundreds or even THOUSANDS of NPCs. Even better, each city has its own personality, charms, and problems - a slum city that has major flooding problems but has excellent athletics and acrobatic trainers, versus the cosmopolitan mountainside village that suffers occasional avalanches, for instance.
Longer days (read - four or five hours), with a wait function in increments of fifteen minutes.
Improved melee.
More skills - lots more skills. Maybe an umbrella subsystem, thirty major skill groups with hundreds of sub-skills (I'm a ridiculous micromanager, but the macromanagers can just choose skill sets).
Bring back climbing, please?
View distance: Looooooong. Nothing hurt more than coming out of the first dungeon in Oblivion and seeing nothing but green smears across the lake.
Your own alchemy cave - A modder gave me one in Oblivion, I'd be lost without it.
Build-your-own spells WITHOUT joining the Mages Guild.
More guilds.
EDIT:
Clothes over armor, I feel odd running around cities in platemail.
More weapon classes.
Hand-to-hand a more viable option (add feet).
Probably no one agrees with me, but hey, it's what I want to see.