I loved Oblivion and have countless hours invested in it. I should really reinstall it, but I hate having to carry discs everywhere; there's one thing I'd hope they'd do: release it on Steam. I'd love more realism. As mentioned previously, a better physics engine, better fighting, better levelling. Fallout 3 got it quite good with levels, I thought moreso than Oblivion.
I don't mind them keeping the quick travel system, but give us a reason not to use it. Have random caravans of people moving around, meet random religious fanatics preaching the end of days on the roads, roving bandits. But not too much or it's unrealistic. For that matter, I'd like a bigger world with more space between cities. I'd also like them not to replace wolves with Centaurs, Minotaurs, and Trolls. I mean, I don't mind the occasional troll. But wolves belong in the world, too. If they insist on keeping scaled enemies, I'd suggest just allowing the possibility of a troll. Keep some enemies at low level to make you feel as if you're actually progressing.
I also would like better weather effects. Imagine trying to take a shortcut through a forest, then a fog sets in. You lose your way (fog would take away the marker on the map. NO compass in this game.). You're wandering around, with your torch and can barely see anything. You see shadows in the distance. Are they friends or bandits? Or something worse..?
Just a better outdoors element and more RP possibilities; I'd love it if the game let us set up a camp, that we have to keep relatively hidden or we'll be attacked at night.
Have a better magic system for PC. I hated having to switch to a different spell, cast it, switch to different... Ugh. Let us assign spells to numbers.
Maybe my ideas sound un-Elder Scrolls, but if so, I'd love a different game implementing this. A semi-realistic fantasy game would be amazing.