Allow me to repost this from an "Elder Scrolls V wishlist" thread I posted in almost a year ago.
+ Dynamic world. I want to see merchants on the roads, bandits stalking in the bushes, packs of wolves hunting down deer. If I clear out a ruin or camp and come back a week later, I want to see it taken over by wild predators, not more of the same.
+ No level scaling. Instead, make the wilderness less safe the further you get from a road/city. I don't want forgiving; I'd rather be torn limb-from-limb by predators in the wild than instantly dominate everything at level 1.
+ Give me incentive to explore. Make the world interesting and the transportation swift. Mounted combat is a necessity as to not bore from dismounting every ten seconds to kill yet another mountain lion. Fast-travel should be available as an in-game service: hire a caravan to take you from one city to another, hitch a ride with merchants, etc.
+ Fix the leveling/skills system. I'd settle for a good ol' experience bar over the skill-based system of Oblivion. We need more combat skills -- handling a dagger isn't quite the same technique as wielding a greatsword. Every weapon type should have a corresponding skill.
+ Make factions mean something. In Oblivion, factions are really just linear questlines, at the end of which you get... what? OH, right. "Guildmaster" title. What does that do again?
+ Equipment crafting. I should be able to salvage stuff to make weapons and armor. I should also be able to sharpen blades, improve armors, etc. Blacksmithing, fletching, all that good stuff.
+ Less generic magic. It's been mentioned, but the spells in Oblivion are just lists of effects, with only a handful of different visuals to represent them.
+ More numbers. Heh, maybe it's just me, but I enjoy min/maxing a character. RPGs like TES are all about numbers, why not let the player see them?
That's about all I have to say.