There's two main things I want to see skyrim do differently from oblivion.
1, No more level scaling. I always hated that everything scaled based off your level. This meant that at higher levels you couldn't ultra faceroll mooks. It also took away any sense of danger from adventuring. That was always one of the great things about morrowind to me. It was completely possible for a low level character to go somewhere dangerous and stupid and get in over their head. That really killed a lot of the fun for me in oblivion.
2, No more freaking staggers in combat. I absolutely hated in oblivion when I would be hit by an attack and my character would be knocked back and stunned for about 1 second. It was just so annoying, and it seemed to get worse at higher levels when things took forever to die, because I would spend a significant amount of time meleeing one mob, even though I had the best sword in the game and max strength. If staggers were removed from the combat system I would have loved oblivion a lot more. As it is though, I actually prefer morrowind's combat simply due to that one mechanic.