From my experience with oblivion. I always have a lot to day about it... because i love the game as much as i dislike it.
Stuff i would love to see:
Living world/economy. Basically; we see caravans and merchants (with their pack mule) going from A to B doing their stuff. Same with ships in docks (they got, like a few states; loading cargo, unloading cargo etc)
And that "living economy" can be manipulated depending on supply/demand, if the roads are safe (of infested with bandits), if the caravans have armed escorts etc. Its a system that could work in the background, but we can influence it (like, destroy all caravans on the orange road increase the cost of food in town X)
Backpacks. I want to see backpacks.
NPC interaction that is more immersive; aka not talking to scary dead NPCs due to their poor animation and rigging. More voice actors.
Physics engine that behave properly; dead people drop like the 200 pound meatbag (with a proper skeleton) they are. Item fall down and stop moving fast (due to friction). When killing a guy he always drop his held items, and even maybe their helmet.
Cities are integrated with the world. So guards inside the city can go on the crenelated walls to shoot brigands/monsters that come too close. We should be able to climb wall swith grappling hooks to infiltrate a place. (also less loading zones)
Equipement doesnt have a "ultimate best" state. Each armor and weapon types (elven, dremora etc) have differences in how their stats are balanced.. so its the player strategy that matters, not getting the ebony/glass stuff and stopping there. Examples: Elven weapons are lighter, accurate but more fragile, dwemer stuff is heavier but very durable, dremora bows have limited range but high damage.. etc
Also, all the gear should look cool AND practical. Dremora and glass stuff was UGLY!! I prefer the guard gear. A good example imho would be Demon Soul's equipment design.
I want spears, crosbows, polearms. I always liked the image of a guard with a spear..
Magical weapons should not rely on charges to be good. Maybe they always do bonus elemental damage when magical and empty, but the bonus is greater when they are full.
Bows should be powerfull. THey were very weak in oblivion, almost only used for sneak-poison-first strikes. And seeing ennemies so full of arrows they look like living pincushions seriously doesnt help immersion.
Where we hit in combat should matter; headshots should hurt more, hitting undefended bodyparts should hurt more than hitting armored ones. (again, hitting a guard 600 times to kill him isnt fun)
Balanced magic system so it isnt ridiculously overpowered. By the same token, make sure all three archetypes (warrior, rogue, mage) are more or less equivalent with their full "typical" skillsets when at maximum level. Each should be as good as the other, but each in their own way.
Level scalling that works like OOO mod. Basically , a bandit stays a weakling all game long, but there is some variation when you level up (some bandits are better than others) but at max level you will always kick their ass in orbit. ANd they will always have appropriate gear.
All skills should be very usefull. No spell should make a skill obsolete (who need personality and speechcraft when you can cast a charm spell?, who need lockpick when you got the spell that does it instantly?)
Or.. if a skill is less usefull.. maybe it should level up much faster? Dunno.
Leveling up should be in favor of "normal play", by this i mean i dont like the way we need to grind with "minor as major" builds to be effective in the game. If i level up as i play along normally with my main skills as major, i should be just as good as anyone. Plus it doesnt break immersion.
For point distribution per level ups.. maybe we should get 10 points to distributer wherever we want at every level up? Less troublesome than the current system, and doesnt gimp "social" builds as much?
and im stopping here...