Speaking for the PC version:
I don't know much about the shadow system in Skyrim (I have been meaning to create a thread about some questions I have), but I would like to see some work done with the shadows. To make the more sharp and less glitchy.
Also, a huge thing, as I understand it Skyrim does not have real-time shadows for certain things. That to my mind is a travesty for this wonderful game. I would like to see that implemented.
So, just some serious work from Bethesda with the shadows.