Frankly? Followers.
I've had my share of Skyrim and eventually headed back to Fallout New Vegas. I didn't expect much from the game after being spoiled by Skyrim's greatness, but its followers were a blast. You can get the story of every single one of them, they always have something to say related to the current situation, you could ask them what they thought of it and they all had something to bring and sometimes special interactions. Many of them were related to a faction quest and they had alot of different fates for the most part depending of what you decide. I find it lacking in Skyrim.
And while I think about it, another thing that could have been done better: Being Dragonborn, and its side effects.
You know, on Fable 3 you're bound to become King, it didn't matter how good or bad you were, you were still the King, people recognizes that title in all the corners of the world, even that group of bandits that you get to chase down the sewers will recognize you by name, in a funny fashion (I mean come on, the ruler himself single handedly cleaning his kingdom).
In Skyrim, you are Dragonborn, you can blow up the province when you sneeze, everyone you meet during your main quest tells you how powerful you are, you slay dragons and absorb their souls, blah, blah, blah. You slay Alduin. The guards will mention it, sure, but the rest of people, and most of factions will treat you like some trash the first moments you're with them. I expected alot of people would ask the Dragonborn about the Thu'um, shouting, different effects and all that, just right out of curiosity, but no, it's like, completly normal.