My thoughts on what Oblivion should have are: Thievery, Riding on creatures, Taking hostages, More Races, Work, Followers and own Guilds, Cut Scenes, Dead/Unconscious bodies and More Skills.
Thievery
For those of you that have played Splinter Cell, you should know that there is a meter that tells you the suspicion of somebody, or the chance that you are caught. This should be done when sneaking around or hiding in shadows to steal something, unless your the type of guy who would rather walk into a bank or a building and just yell at someone to give money while sticking a knife at their neck.
Riding on creatures
I have heard that in Oblivion they
might be having horses to ride on, what I propose is that any animal that you can
tame should be rideable, including giant eagles, griffons, dragons, Large Lizards (not Argonians) and etc. Wouldn't it be fun to be soaring around the sky on a golden Dragon's back?
Taking hostages
One problem I have had in Morrowind is that when I commit a crime and the guards are surrounding me or overpowering me, I never have a hostage (also from Splinter Cell). Wouldn't it be much better to have a human shield, and to be able to get away from the guards? Though there is always the problem of them stabbing you through the back, just hope they don't stab through you and into the hostage.
More Races
In Morrowind, the basic races are Humans, Argonians, Elves and Orcs. Well, I ask, where are the Dwarves? And Gnomes? And Trolls? And all the other fantasy type Races we see in other games or movies or in a book. Dwarves would live in Gold Mines, Gnomes would live in Tree Houses and Trolls would live in Mountains.
Work
In Morrowind while in Mournhold, I noticed a play that you could attend. Even though it was cut short because of an assassination attempt, I found it was enjoyable. But it also brought the one solitary question to my mind. Why can't you get a
proper job? Like being an actor in front of hundreds of people? Or being the scriptwriter? Or being an author of a book which is then sold to many different areas? Or working at a pub or Inn or an Earthly Delights? What happens if you can't be bothered doing a quest or collecting herbs to sell, and if you just want to settle and work in an area for a bit?
Followers and own Guilds
There may have been some ideas for this, but I would like to press it further. For instance, if you happen to be a really evil guy and people have heard of your work they might join you in you quests (for whatever they may be). And if you managed to build a large building, and had lots of followers, you could start your own official or non-official guild. For example: The Readers Guild - for bookworms, the Invisible Guild for people who want to erase their lives or disappear. Or something like that.
Cut scenes
While playing through Morrowind I've noticed that in a lot of areas there could have been a cut-scene or movie to show or explain what is happening in the quest. Or just for some fun.
Dead/Unconscious bodies
This is something else I have "borrowed" of Splinter Cell. When you have killed or knocked out someone, and no one was around to see it until they happened to walk right on top of the body there should be a way to pick up the body and put it into a hiding spot. For an unconcious body you could tie them up to a tree and interrogate them, or hire someone to, so you can get information from them. If they still don't talk then give them a beating till they do, like in 'The Punisher' or other various games. There is also the idea to drug them, or starve them.
More Skills
If you have played "Runescape" (a MMORPG or a Massive Multiplayer Online Role Playing Game), you would know of the skills to woodcutting, fire making, food making, pot making and the sort. These should be added to Elder Scrolls. Oh, and before I forget, you should be able to build your own buildings and homes. But it would take you a long time, and you would need a lot of resources. As I have said before you should also be allowed to tame a creature, to obey you or let you ride it.