I've only played Oblivion, so I don't know what I would have liked about other games in the series, but here are some of my suggestons/wishes for the series. Yeah, I know that this thread is mostly dead, but I'm posting it anyway.
* Make the mastery perks for magic be more interesting, rather than just unlocking spells with bigger numbers on them. Something like a Conjuration Master being able to either send one big summon after enemies or about 4 little summons, i.e. either a Lich or 4 basic Skeletons. Speaking of Conjuration,
* Make Conjuration more useful/interesting, especially to characters who like using stealth. I hate how when enemies detect your summon, they also detect you. Make some of the summons be creatures that you won't find in the wild, and have a few daily summons that can really hold their own and are unlike anything else in the game, like a giant lion-spirit thing that has ice-element affinities, or a great fire serpent. Maybe have these things as part of the reward from completing a faction, or require the completion of some mountaintop trial, just so that it'll be worth my while to use Conjuration when I'm a mage/stealh character.
* Overhaul the stealth system. Have some sort of non-lethal way to take out enemies, like a slow-acting tranquilizer dart blowgun, or just a cosh to the back of the head, so a thief can infiltrate areas without killing guards and thus incurring the unaviodable bounty. Make a character able to throw a rock or coin in order to distract enemies so you can sneak past or bash them on the head. Make castles have stuff worth breaking into them to get. Do something so that Invisibility/Chameleon doesn't totally break the stealth system.
* Have stuff worth buying in the shops, even if it's obscenely expensive. We need something to do with all the cash we acquire besides get more houses.
* Improve enemy AI, especially that of NPC's. They should work as a team if they're in a faction. Mages should stay in the back and sling spells. If it's a ranged area-of-effect spell, they should target not you, but things around you, like the ground by your feet, or the ground behind the pillar you're using as cover, rather than attacking the pillar from different angles.
* Make Necromancers do Necromancer-y things, like reanimate fallen comrades or use Soul Trap on humanoid characters if they have a Black Soul Gem on hand. They should be more than just "Summoners of Undead Minions with One or Two Destruction Spells"
*Do something to make enemy archers not suck so much.
This is all I can think of for now.