Vendors having such low gold makes things more realistic, and gives a true motivation to level up speech craft in my opinion. It'd be so much more boring if I had to just sell to a single merch and make all my money.
That said, let's see what I can come up with...
1) The lack of my being "famous". They tried here, I sometimes run past guards who tell me hail Sithis or remind me that I've saved the world, but overall things are just..eh. I join the Companions, after having kicked complete and utter ass all over the world, wearing full Daedric armor and casting master level spells while my conjured Dremora Lord fights for me. And what do they tell me? I'm some nobody that shouldn't be allowed to join because I'm weak? No no no, I just saved your god damned WORLD, don't tell me I'm some weak nobody.
2) I can't kill whoever the hell I want. Jarl of Whiterun? Die by my hand! Wait, no? You only go down on one knee? Oh, lame. Or, oh no! I've been caught robbing a house! Well, I can just kill them and get my bounty erased. No wait! One of them can't be killed! Huh, now I suddenly have a bounty of 5000 gold in this town.
Warn me that I'm killing somebody important to a quest later or something, but please, let me just go around killing whoever I want.
3) Followers being more or less worthless for anybody who wants to either sneak or be a mage. You can't make use of any AoE spells with a follower, and then the other half the time while you're sneaking they'll run into the room and gather everyone's attention. Granted, I can oftentimes still get my sneak kills, but it's not nearly as fun.
4) Master spells are disappointing. For destruction, compared to the expert ones, they outright suck. They're flashy and I love that for sure! But come on! First, you can't stagger somebody since it requires both hands. This could be forgivable if it did enough damage to kill say, a Draugr Deathlord before they managed to get to you, but even if you managed to cast it without them noticing they can still run at you, Fus Ro Dah, and mess you up good.
And the cast time, jesus. If you've aggroed someone, forget about it. I wanted to use my new mass paralysis spell on a room full of people, but in order to even cast it I had to use Slow Time. After that, what's the point?
5) I'd really like some more realistic enemies. I mean, I walk into a room and three of your buddies goes down in flames before you can so much as notch an arrow. You're really going to fight me? You're not going to go run down the hallway to your friends for backup?
Or when they start begging for mercy! I tried honestly sheathing my weapons and walking up to them, maybe thinking I could let them pay me to spare their life or just tell them to run to their family or something. But no, the only option of getting rid of these people is killing them! It'd be so cool if I could use my speechcraft maybe to tell them to back down, I don't want to fight. But instead they beg for mercy and then when I try and give it to them, EVERY SINGLE PERSON kills me instead. Either Skyrim is full of major dicks, or this is bad AI.
Those are my complaints. I must say though, this has quickly turned into one of my favorite games. Truly enthralling, makes me wish I was back in highschool and didn't have so little free time lol.