After putting a hell of a lot of time into Oblivion, I must say that this game has exceeded all my expectations for the next game in the TES series. Everything has been improved upon from past games, but there are a couple points that bug me about it.
1) Enemy scaling. I personally find it problematic that they scale directly to your level. On my first playthrough, I was a warrior / mage type character who just levelled naturally and didn't try to maximize my skill modifiers at level up. By level 8, I was getting the crap kicked out of me by regular enemies, and I had to turn down the difficulty. My second time I made sure to get at least 2 +5 modifiers every level (plus 1 point for luck), and the game difficulty is just right. I don't think you should be forced to plan out your skill modifiers to get a natural progression of difficulty. On top of that, I also wished there was some more division with high-level areas and low-level areas. I don't like how a stroll to Lleyawin is a life-or-death ordeal from the imperial city, with me fighting spriggans, will-o-wisps, and other nasties on the route (guards go down in like 2 seconds against these enemies, so they don't help). It just doesn't seem to make sense, roads should be challenging for low level characters but easy for higher level ones - scaling in the backwoods of the wilderness alone would make more sense. I just wish a little more thought had gone into this, because it definitely is a good idea that I hope they keep in future games, but it really does need a more balanced implementation.
2) Payoffs of being a thief. There isn't anything of value in people's houses, period. Sometimes you find a book worth a bunch of gold, but for the most part houses are filled with clothes worth 1 or 2 gp and worthless flatware and plates. The risk/reward just isn't there, plus the fact that you get no combat benefits aside from the initial sneak damage bonus makes being a thief damn near unplayable. I'm sorry, constantly running backwards while firing arrows at enemies as they charge you is not that fun. There should be tangible benefits to breaking into people's houses (stealing better weapons/armor than for your level) and the combat for a stealth type character should be more fleshed out (stagger options on sneak attacks and the like? I don't know, just trying to come up with ideas). Also, I hate how the "lock-on" mentality for enemies works - once they see you, you can't disappear into the shadows or something, they know you're there. You should be able to lose enemies. I know that would take a big leap in AI, but without it stealth combat is basically "get critical bonus damage then run to an unreachable place for the enemy and fire an endless volley of arrows until the enemy dies".
3) Magic is WAY too strong in this game. With comparable skill levels in destruction and blade and a decent enchanted sword with high base damage, I can take down just about anything with a few casts of touch damage spells, but I have to whack long and hard on the same creature to have the same effect. I think a few magic-immune type base enemies would have really made the game better, because as it stands now being a magic-user is far and away more beneficial than any other type.
These complaints are pretty small, but nonetheless I really do think addressing them would make this game better. Considering that this game has already leapfrogged to the top of my "favorite games of all time list", I am nitpicking, but hey, that's why we have message boards, right?