I'd love to see a good dual wielding system; the whole point of using two weapons is effectively attack with them both and being able to parry, in Skyrim you can either attack with one or the other, but not both (out of powerattack) and you can't parry, and we shouldn't relay on the outstanding mods out there to be able to do this in a fantasy medieval game, imo.
Climbing, being able to access through windows, having a real open world without loading screens every time you enter a city (WoW is much, much bigger, with thousand of players and npcs, and all the world is open except the instances)
But most important of all, options, options to roleplay; usually you either do the quest or you don't, let's take the Mace of Molag Baal in Skyrim, you either ignore the quest or get the priest killed, there's no alternative/reward for not doing that, no way to trick Molag Baal, and like this almost every quest. Again, there are mods out there thanks to the awesome community TES have that offer these options, but it should be something included in the game.
Also a bigger world, crowded with life and people, believable cities, not Capitals with 10 houses and a few dozens of population including guards... something that makes you feel like you are there, huge/big cities and three or four times larger landscape outside, so you don't feel like moving in an overplanted garden... It takes no more than 10 minutes to cross Skyrim riding a horse; take a look at The Witcher 3 to see a nice example of a city, even Assassin's Creed 1 and 2, which are older than Skyrim have bigger and better cities... Make us dream, please, make us believe.
Last, but not least, I'd love to see a way to remove/hide some "casual" elements, like disabling fast-travel, the compass, etc... of course, you can just don't use them, but being able to inevitably makes you using them. It should be as easy as having an options to disable them in game.