#1: I myself would like to see a better mount system, it seems in every RPG I play in I wind up not using mounts because it's easier to just walk (Exception: MMO RPGS). The all time champion of this was probably Two Worlds actually.
#2: I actually want to see them get rid of the Redguards as they currently exist and bring back the "Real" Redguards (ie Dwarves). I sort of felt their inclusion was intended to be politically correct, and I was frankly irritated how they did a re-write about Dwarves and removed them from the game entirely.
Mostly I admit I just want Dwarves though.
Also for those who wanted a game set in the Redguard areas they DID do one that was sort of an action/RPG hybrid, but it was sort of a disaster sort of like the other Elder Scrolls spin offs (like Battlespire). It was called umm... Redguard.
#3: I would like them to actually restore the depth and complexity to the game rather than constantly dumbing the game down. Each game the world gets smaller, we see less skills and customization, less factions, and less features. Granted some other things improve, but overall I feel increasingly pigeonholed.
For example I missed having noble houses, multiple churches, and things like that in Oblivion, as well as the removal of being able to make yourself fly.
Of course in Morrowwind I sort of missed the abillity to join Knighthoods and such (as per Daggerfall) and customize your class entirely down to material prohibations and the like (granted this was rife for abuse, but in a single player game who cares?).
#4: I also believe AI companions need work. Truthfully I've been fairly impressed at how Bioware has made the AI controlled party members in games like Knights Of The Old Republic and Jade Empire work so well as extensions of the game. There is no excuse for some of the horrendous AI I see nowadays in games of all types. Not just Oblivion, but also like Fallout 3, or even Resident Evil 5. I mean when you consider games that old masterworks of party member AI years later you know there is a problem. Heck, Bioware even did a decent job with Mass Effect (though I do admit that one did have a few problems, my party members seemed to get pwned a disproportionate amount of the time due to raw stupidity if I didn't micromanage almost constantly).