Listen, I'm really enjoying Skyrim. Most parts are an improvement over Oblivion, but I think Bethesda may have accidentally snipped a few chunks of meat whilst they were trimming the fat.
The lack of consequences for your actions is a really big one. Whether it's positive or negative, there seems to be little to no reaction to what you do. Despite my open display of The Voice and dragon soul absorption, there are still guards that insist that perhaps they are the Dragonborn. And there's that asshole in Whiterun who constantly inquires as to my visits to the Cloud District only to rub his smugness in my face. Funny considering I'm pretty chummy with the Jarl.
All of the freedom is just an illusion. There's usually only one way to do every quest with nothing interesting to do for a second playthrough. Where's my option to challenge Ulfric to the throne? What if I'm a High Elf, why can't I join the Thalmor and be an agent for them? Hell, half of the playable races don't have motivation for joining either the Stormcloaks or Imperials, where's their motivation?
And the companions, sweet Mara the companions. Lydia shows only a sliver of personality when you ask to trade stuff with her, to which she replies almost petulantly 'I'm sworn to carry your burdens'. From that line alone I can derive that she's duty bound, but doesn't think she should be your pack mule. But that, sadly, is about the only personality we see. Farkas explains he's scared of Frostbite Spiders at one point, but bring him along and he'll mow them down without fear. It would have been better off if they'd all just been uninvolved, heartless sellswords.
And just a little niggle that ties in with my disdain for the lack of attributes; carry weight. It's now tied to your stamina. So my slender thief can carry a lot more than my hulking Nord, that just doesn't sit right with me.
Oh, one more thing. A few fort wipes, a dungeon dive and then a final tomb raid and the Companions questline is over? Really? After that it's just redundant Radiant requests. No epic conflicts or complex internal dilemmas? Jeez, becoming the Harbinger doesn't take much does it?