I missed Levitation in Oblivion, but I pined for it in Skyrim. There are so many mountains! I want to fly over them, and battle Dragons in the sky. I also miss the Mark & Recall spells, and to a lesser extent Divine Intervention.
And of course, like so many of you, I miss the various arms and armors that were available in Morrowind that were removed in the last two games. The armor mostly just made the world seem more varied and in some ways added to the atmosphere of the games. I mean, how badass was the Ordinator armor? And while I guess the developers thought that different kinds of weapons were unnecessary or redundant, I thought they added to roleplaying. I miss darts, throwing knives & stars, spears, and crossbows. And I agree about the leveling in regards to the higher quality weapons. I haven't seen a daedric weapon or armor set in Skyrim yet.
Also (and maybe this is just something I missed) but are there no enchanters in Skyrim that are willing to sell their services? Can I not collect money and pay someone to do quality enchantments for me?
One of the things that bothered me the most about Oblivion was the serious cutback in factions when compared to Morrowind, but at least the questlines for the Guilds were pretty damn good. And while Skyrim has brought back the Imperial Legion (and the Stormcloaks) they haven't been as well done as in Oblivion (though I haven't done the Thieves Guild, or Imperial Legion quests yet). Though I guess that's not what we're talking about here. I do miss Guild Ranks that seem to be gone in Skyrim. Without them it really doesn't feel like you're advancing through the faction, or even as though you're part of it. You're the new guy one day, and the boss the next. And of course, along with that it would be nice if there were skill requirements.
And finally I miss the more exotic locations, and unique architecture of Morrowind. Too much of Oblivion and Skyrim, while beautiful, seemed like generic medieval setting #5 to me. Skyrim has a few gems that are unique, I really enjoy Markarth, but overall it seems pretty generic. Cyrodil was the worse offender though, particularly since the lore described the province as a jungle not a temperate forest, but at least Shivering Isles redeemed it somewhat. But I knew Skyrim was going to be pretty generic, being based on Nordic (real world Nordic) culture. I just hope the next game (or expansion) takes us to a province or realm that, like Morrowind, we can expect to have some more unique environments.