One thing that bugs me is the save files....being all jumbled up, it would have been a lot better and neater to have a separate folder for each game. If you have two characters in there then your auto saves get overwritten, and as I mentioned it's just messy.
It would also be good to have more things to spend your cash on, although skyrim is a big improvement over Oblivion with regards to money. I really didn't like how ridiculously easy it was in Oblivion to rack up massive amounts of money & how relatively little there was to spend it on. After a certain level every random bandit you met had expensive armour so you could hack down a few bandits and come away with 10,000 worth of loot for little effort. Also how you could make massive amounts from potions. I took advantage of that right at the start to get the cheap river front house as quickly as possible....but after that I didn't sell potions & I would only loot gold etc from enemies, leaving their expensive equipment, I liked having to work for my money & skyrim makes you do that to a far greater extent than oblivion.
I was a little disappointed that the jobs were automated, that all you did was press a button and wait for the task to be completed. It would have been better for you to actually carry the task out manually in some way, also the money you earn for something like woodcutting seems disproportionate.
I haven't become a vampire as yet.....but I have seen in various places on the net that it works pretty much the same as in oblivion. One of my main wishes for Skyrim was the return of vampire clans like in Morrowind. Maybe 2 rival bloodline clans of vampires with varied special abilities depending on your bloodline, join one and the other clan is automatically your enemy, and each bloodline had a dedicated quest line for that clan. Evan having one vampire clan with a dedicated quest line would have been great. In that case there would also have been clanless vampires who were your enemies.
The holds are a little too orderly, it would have added more life to the game if there was a place that was seedy and dangerous. I know there is riften but it functions like any other hold really. If there were random brawls in the street, random events of people trying to pick your pocket, break into your house, whores propositioning people in the streets, bar room brawls without fatality's etc. That would have given the game a lively feel & a darker side.
That said Skyrim does the job of creating a living breathing world better than any other game I have ever played & it seems harsh to criticise anything this incredible, beautiful, progressive, and well made. But the above are my main points.
Oh and fighting pits, like the arena in oblivion but on a smaller scale. Cross country horse races where you could participate or just bet on the outcome, and maybe gambling in the taverns on card or dice games, those would have been really good and offered a bit of light relief away from the quests and dragon slaying.