I agree with everything you said. Here's what I'd add to that.
-Knight Orders. In Daggerfall there were several different knight orders you could join, such as the Order of the Scarab or Order of the Rose. Maybe a different knight order for each of the Nine Divines, and you can only join one per character.
-Unarmed Skill Set. It's interesting they'll add new kill cams for a combat style that has no perk tree of its own. This should be automatic for the next Elder Scrolls, and as perks are added, maybe add options such as kicks or even grapple attacks.
-Return of the Imperial Arena or similar arena-style combat ring. Challenging foes to duels to the death is fun, and could easily have worked in Skyrim, which favors bloodlust and combat. The Imperial Arena was one of my favorite questlines in Oblivion and a nice way to level up characters early game.
-Polearms. Everyone's been hankering for them. What Unarmed could be to a Stealth/Rogue skill tree Polearms could be for Warrior style classes. Two-Hand weapons basically fight in arcs, so Polearms could be very dueling focused (since spears generally stab). Maybe branching skill sets, one for a Hoplite style tank where you can equip a polearm in one hand and a shield in another, the other a more combat focused tree where you get added moves.
-Branching Story Paths. All of the questlines, while good, felt very linear. Maybe your Companion doesn't want to become a werewolf. Maybe your Mage supports Ancano's rise. Maybe if you sided with Cicero you could possibly rebuild your own Dark Brotherhood and either convince members to side with you or not. This could have added replay value to the various quests.
-Less NPCs, more depth. I'd like to see fewer but deeper personalities for the NPCs. What makes them tick. What prevents them from saying the same thing over and over again. Who they dislike.
-Deeper marriage system. I find it strange for a land that has its tensions, you can marry anyone and not have a reaction. If you live in Windhelm as a Nord married to a Dark Elf, people should react to it. If you're a human married to an Argonian or Khajiit, people should react to it. I also didn't like the whole 'anyone can marry any gender or race' thing. Marriageable NPCs should be fewer in option but have established preferences.
-example: Nyri the Dark Elf- prefers Dunmer, Bretons and Imperials. Altmer, Imperials and Bosmer require persuasion check. Not available to Khajiit or Argonians.
Talon the Argonian- prefers Argonian females only.
-Oh...and less ugliness for character creation and NPCs. A marked improvement over Morrowind and Oblivion but still most characters suffer in the ugly department.
That's all I can think of