NPC dialogue. God, either add a little bit more to vary it, or just make them shut up after they've said their line once. Followers are freaking annoying in Skyrim. I actually sent mine away after he'd repeated the same line for about the 8th time in one dungeon. Not to mention the guards, who've already spawned a meme.
Then there's the fact that certain faction NPCs say things that make absolutely no sense. I'm a friggin Legate for the Empire, yet Imperial soldiers will scold me when I get too close to them in the world while they are with a prisoner. Somehow me passing by them is disruptive and they seem like they'll take me as a threat if I don't move on.
Then if you happen to be in a store right when they close: "You need to leave. You need to leave. You need to leave. You need to leave. You need to leave."
So yea, NPC dialogue is the game's biggest problem in my mind. It really pulls me out of the experience. I'm not even usually one of those people who complain about immersion breakers. It's just that bad.
There are other issues:
-Vendors don't have enough money. The only exception is the one vendor for the Thieves Guild once you've completely finished that quest line.
-The lockpicking. Even with a high skill and if you just do a bunch of novice locks, you're going to break a few lockpicks. The minigame as a whole isn't totally based on chance, but that first move in it totally is. After Oblivion, it just kind of irks me.
-Too many generic bandit camps/forts. It gets a bit dull.
-Dragons are too easy. I fear bears more than dragons. Something is wrong with that.
-The Imperial (and I assume Stormcloak as well) quests: reeeaaally boring.
But overall, I love the game. I put about 120 hours into it, and have only now moved on to something different.