I want to have combat pets baked into one of the classes. Or maybe make it a talent tree. I've done mods for it, but it would be cool if it was its own talent tree with perks and such.
I know TES is open-ended and you can do ALL the quests, but I like to feel like the world is actually evolving around my choices. Being the head of, say, five guilds is ridiculous. There should be some story-based cap on such stuff, so that you're actually roleplaying a character, not just doing and becoming everything. That's not roleplaying, it's refusing to make meaningful choices so that some 15-year-old can gleefully wander around with a fully maxed character that's in charge of everything. What if your decision to lead the Warrior's Guild put you at odds with the Mage's Guild? Or, perhaps, a rival kingdom or a town that dislike the Guild? And, if not handled properly via political quests and such, those could escalate into full-on conflict? There are opportunities for development and nuance there. And also opportunities for feeling like you're shaping the world in much larger ways.
The same could be said of skills. Decide to train yourself in Destruction magic? Maybe it makes it harder to learn Restoration. There are dozens of potential examples like that.
They can continue to tweak the magic system. Melee is still a better option to cover everything, and while older TES games had magic that was too weak, Skyrim was a mix. Some combos/trees were too weak, others a bit haxx. I also ended up using mods to boost Archery in Skyrim, so there's an area they could look at too.
My favorite TES game (for its time) was Daggerfall, but I'm struggling to think of how they could incorporate that into a new game. It really doesn't translate well anymore...it was just an epic game for its time. The sense of world scale was awe-inspiring.