Id like to see a slight throw back to Morrowind.
In Oblivion, you could only choose between the Fighter, Mages, Theives and Assassins Guilds. 4 guilds. Thats it. I'd have liked the oppertunity to join the Blackwood Company perhaps, or the Necromancers. You know, been the bad guy. Much more choice between groups to join in Morrowind. Made playing through several times more interesting.
I'd like to see more than 1 road. In Oblivion, the Imperial City was in the centre, and to find another city, all you had to do was walk down a straight road to get there. That was if you bothered. Right from the off you could instantly teleport to the next destination. Bringing me to my next point.
A more interesting fast travel system. Opening a map and saying 'I wanna go there' didn't really do it me. I like to get drawn in, and the magic teleport system didn't really help.
I'd also like to see a variety in architecture. Yes, the cities did all look different, and have their own personality. But it wasn't a patch on Morrowinds amazing diversity.
Bring Back Levitate!! I know why they got rid of it in Oblivion (for those who don't it's because the cities are in different cells, and therefore levitating over the walls would have broken the game) but I don't care. My favourite character on Morrowind was a heavily armoured Mage. Levitate was my most frequently used spell. It was just rediculously useful for dealing with mountains, and rediculously good fun.
Alteration, Illusion, Mysticism, and Restoration. I found these schools of magic to be next to useless in Oblivion. Alteration especially felt like a massive downgrade. As a mage in Oblivion, it was easier just to upgrade armour for defence, alchemy for money, and destruction for offence. I never really felt any need to bother with anything else. Please, please, please upgrade them again.
Finally, that bloody leveling system. Please get rid of it. It just ruined the whole point of leveling up. You never got the same God like feeling you did in Morrowind.
I'd like to point out that as much as I critisize Oblivion, I do love the game. I have spent hundreds of hours on that game. I just believe that in certain areas the game could be seriously improved.
EDIT - I wrote this huge rant and forgot to mention where I'd like to see the next game set. For me it would have to either be Summerset Isle, or Morrowind Mainland (I'll explain in a mo).
Summerset Isle, home of the Altmer. I honestly just thing it would be interesting to see where such a magnificent and fascinating race would live. More so than say some woodland huts and treehouses (Bosmer and Khajiit).
Morrowind was actually set on the island of Vvardenfell, which is only one part of Morrowind. I would love to see what the Morrowind mainland looks like, and how the other Dunmer Great houses live.