What I would like to see:
Lockpicking alternatives for combat oriented characters - Character builds that have high combat related skills but low "practical" skills (such as security, armourer etc) should have the option to open doors by force. Obviously large, sturdy doors wont simply be knocked down, and rightly so, the player should have specialist skills to open such a door however I think its ridiculous that a strong brutish character cant open a flimsy wooden door by force. This, in my opinion, would allow players to focus more on increasing skills they want to improve instead of having to waste points on security so they can actually get some loot. I cant imagine some blood lusting, warhammer wielding hulk pulling out a little lockpick to calmly open a tiny treasure chest...
Weapon & armor customization - Probably the most obvious feature, simply let us use parts that we find such as reinforced armor plates, higher quality materials (whether it be fabric, wood or metal) etc to upgrade our equipment.
Combat styles - I would like to see different combat styles, for example if you are a swordsman, you could either have a very fast paced and flamboyant style but less accurate with each blow and do slightly less damage or could have a calmer, more focused style where precision and power is prioritised. This would apply to all weapons.
Less money - Money should be a highly valuable object with very little to be found or earned. It seems stupid to me that with every Bethesda RPG I play, I end up with vast amounts of money in very little time and with very little effort whether it be caps or gold. Earning say, 50 gold should feel highly rewarding for the player to receive where as such a sum is nothing in Oblivion. Although it seems very obvious, the less you do of something or the easier something is the less you should earn. Basically what I want is to cherish gold and have to spend it wisely. It goes without saying that all items should also be dramatically reduced in price.
Transportation services - I would prefer a realistic system, such as carriages, that you have to pay for to transport you from A to B if you do not want to travel by yourself. The benefits for your character would be less chance of attack, appreciate the scenery and get a well rested bonus or something (something that has significance unlike Fallout's Well Rested for example). I would prefer the fast travel system to just be cut out of the game to be honest. I also think there should be different "classes" of carriage, like poor, average, posh etc.
"Hardcore" mode - I liked the idea of what Fallout: New Vegas was trying to do, just not the execution. I dont want to go on and on about it so simply you need to eat, drink, sleep, temperature regulation, disease/illnesses (that have more noticable effects this time) etc etc etc...
I could go on and on and on... but I will stop there, there is a lot more I can think of but I doubt you want to hear them. I completely agree with the person who said NPCs items should be reset after a short period of time if they have been misplaced, I also think they should attack or at least tell the player off for persitant vandalism. Also agree with no more bugs or at least some patches, more voice actors and many more.