First off, I think the experience system can be annoying. The point system is all right, but it's the fact that my points decide my leveling up that I don't like. The way it is, I can accept a quest, bust my *** off helping some poor soul, not get anything but gratitude because they're poor, and also not get any experience! I'm pretty much doing those things for nothing, bottom line... (& don't gime me the whole good-deed schpiel, 'cuz I don't play the game to save some AI from poverty...
Also, a lot of the quests are fairly predictable. "Go to X, get X, come back" or the super-annoying "Follow NPC from X to X". The latter missions I try to stay clear of, just because I'm six times faster than any NPC in the game. It gets to be sooooo tiring to wait for them!
Also, the bestiary is pretty small. For a game the size of morrowind it's weird that all I bump into are cliff racers, nix-hounds and guars. That's not necessarily something I don't like about the game, just something I could have liked better... Something Bethesda might consider for Morrowind II, maybe?
There are other things too, but I can't think of any more right now. I'll be back with more later though!