For me, and I'm still playing Skyrim, it's the flexibility of character concepts. I can make a sneaky assassin character, who never explores except under the cover of darkness, and have one game experience. And then make a heavy armor, 2 handed Avatar of Talos, who Shouts his victory over each dragon he's slain with a mighty Fus Ro Da!! And then turn around again and make a Garrett-esque thief from the titular game series, who never actually kills anyone, and spends all his time finding ways to sneak in and out of these hostile dungeons, with all their loot. Each of these examples is a completely different experience of the game, and my actions/motivations are completely different in each scenario.
For me, the game really doesn't put too many limitations on the game for the player, your main hindrance is your imagination. In the above mentioned thief concept I made, I gave him a calling card for the houses he stole from. I went around and gathered up every Quill I could find, and as I left a house, pouches bulging with stolen loot, I would drop the feather on the doormat, just inside. Yeah this never came up in game in any way, the guards never started talking about the Feathered Bandit, but I enjoyed the bit of flair it gave my concept, and it inspired me to try and tackle larger, and tougher buildings. I even considered making myself a Kill on Sight level criminal in each capital, just so I could add the extra challenge of having to move through a hostile city without being seen.
With my Avatar of Talos, I always used Intimidation options whenever given the choice, I accepted any and all challenges offered to me. I never looted the Burial Urns, or from the corpses of Draugr, because my guy was a True Nord, and to dishonor the dead in such a way was unthinkable. He never snuck about, so dungeon "crawls" were actually blitzkrieg sprint sessions that were incredibly fun to experience. I would Shout my presence in dungeons, drawing the enemies to me in large groups, because that's just how that guy rolled man!! *flexes Thu'um muscles*
I'm still coming up with concepts left and right for Skyrim, in large part to a website called The Skyrim Blog, which is an awesome resource for roleplay ideas, character concepts and the like, to revitalize your Skyrim experience. Each time I'm finding new aspects of the game I didn't see before, or simply enjoying seeing the game progress in a different direction than the last. The sandbox nature of the game structure, I think, is it's greatest strength. It lets you the player, be free to try out just about any concept of gameplay you can think of, and the game will allow it. Other games, you are railroaded in how you can proceed in the game. inFamous, for example, is one of my favorite game series to date, and I love it to death, but if you wanted to try and play that game without you know....shooting everything with lightning, you won't get anywhere. But, if you want to make say, a pacifist Priest of Arkay (a god known for neutrality in nature), who doesn't actually inflict damage on anything (except undead), then you can! You can totally hire a follower, pick up an animal companion, and then cast nothing but buffing spells and healing spells, and let them do the combat for you. I have in fact, done this exact idea. And Skyrim let me. It didn't slap me in the face and say "NO! That style of play isn't allowed here!! Now pick up a warhammer and go smash faces!!" Instead, Skyrim said "Okies, no probs man, here's a couple of tools for you to use in that concept, knock yourself out" And then it patted me on the head and sent me on my way, to explore Skryim in a pacifist manner.
To me, that is the greatest appeal of the game, the sheer amount of variation and customization that is provided to the player. And on top of that, the Workshop is overflowing with other creative ideas by players, that has enriched the experience even more.
