I'd really like a non-horse mount. The only lore friendly things I can think of are Senche-Raht and maybe Guars. Some sort of Dwemmer contraption that you can get at the end of a long quest could work too.
I'd like to be able to pay enchanters to enchant my gear. The enchanters can vary in skill level and charge a lot of gold. The strongest enchantments however can only be done by the player. This makes the skill worth leveling, while giving options to non-magic users.
I also miss the stats from the older games.
Possibly the return of the class system. I love Skyrim's skill system, but I didn't realize this until I played oblivion again a week ago. But Skyrim tends to set you off with a pretty bland character as far as skills go. And unless you're playing a straight up warrior, sometimes it can take a couple hours until you actually feel like the class you want to emulate. While in Oblivion it starts you out with a decent start in the skills of the class you selected (or your own custom class). Which helps significantly in getting the ball rolling for your playthrough. Of course Bethesda would have to strike balance between the two of course so that it wouldn't limit player creativity. But I feel the return of the class system, so long as not limiting, would help with immersion as well as RP and the general flow of your character development.
Also... throwing weapons and cloaks (Seriously, I want to play a caped knife thrower on my console).