Oh boy, prepare for a big list, because this game deserves this:
1- More weapons variety. Not just spears, although I'm pretty glad they're adding that to the next DLC, but fist weapons, halberds and throwing weapons like javelins, for example.
2- Better character creation. Personally, I didn't like how they streamlined all of it, only allowing you to add Health, Magicka and Stamina. Screw that, give us classes, birthsigns, and hell, why not allowing us to tune our own stats however we want? You know, like Daggerfall, now that one had the best class customization of any game I'm ever played, and it deserves to make a return. Just... no streamlining. Please.
3- Make the Civil War have an actual impact. I thought it was pretty lame how after you ended it, all it did was changing some people's opinion of you and changing the town guards. Pretty lame.
4- Forsworn. Pretty much the same as the above. You help them out and... nothing happens.
5- Guilds progression. Think about Daggerfall and Morrowind, and you'll get the idea.
6- More weapon and armor tiers. Chainmail, for example.
7- More spells and more elements besides Fire, Frost and Shock. Mark and Recall, where are you?
8- Dragons. Not new dragons, but better ones. Have them use more than one type of Shout. And while I'm talking about dragons...
9- Alduin. He DESERVES and NEEDS to be improved. For a World-Eater he sure was a wimp. Giving him access to a lot more Shouts, then it would truly be an epic battle and debate at the same time.
10- Actual bug fixes
11- More actual bug fixes
12- Even more actual bug fixes
13- Remove fast traveling and keep the caravans. Seriously, fast travel needs to go.
14- This is more of a personal preference, but still: Bigger map. Like, a whole lot bigger.
15- I want the mudcrab vendor back. No, scratch that, I want a sabercat vendor. Yes, a sabercat.
16- Finally, many more actual bug fixes
And these are just the ones that came on top of my head. I'm pretty sure I could add some more to this list if I thought it through.