1. Comprehensive housing overhaul: Houses in the holds that don't currently have one, and a more reasonable interface for placing items precisely where you want them. Fixing the crazy physics in-house and all associated bugs would be nice, or disabling the object physics altogether. Along this vein, the ability--once status as Thane is achieved in a hold--to refurbish busted up buildings in the hold's towns. Upon reaching a certain point in either the Imperial or Stormcloak quests, the ability to build, upgrade and populate a stronghold. Can only populate with NPCs who have a favorable disposition towards you and your faction, perhaps?
2. Companion overhaul: Smarter AI. More companion options--new NPCs to hire, and the ability to design one for yourself (as customizable as the avatar, ideally). The ability for them to properly scale alongside me--and maybe I can put skill books in their inventory and they'll read them while 'off-duty,' particularly for housecarls who otherwise just bum around your house. I'd also like to be able to give them equipment, and trade out *all* the default crap. It drives me crazy when I make Lydia a full set of steel plate and she changes back to her regular steel as soon as I re-enter the house.

3. A more complex, functioning economy and society: More moneysinks. More ability to directly affect the economy for better or worse. The ability to give larger amounts as charity. I know I'm not being as specific on this one, but that's because there are so many ways to go about it. I'd also like to simply see more NPCs around. Some with purpose, and some that just add flavor, and are nameless (I like the Traveler idea).
4. Marriage overhaul: More marriageable NPCs, both pre-existing (nearly anyone who is single) and new. This would include at *least* one from every race/gender combo. The ability to do 'nice' things for your spouse, rather than just mooch off of them. Ability to change their apparel without them going nuts. Make any 'companionable' spouse an essential NPC for the duration of their following you about (for those of you who like to kill off your spouse) or to just make them an essential NPC altogether (for those of us who don't). The ability to re-marry after a divorce or death. Adoption of a hell-spaw...child. I meant child. And a dog that lives in your house (that can follow you, perhaps), and doesn't bark all the damn time.
5. Quests; add-ons and overhauls: perhaps you can be hired to escort the Khajiit caravans from one town to the next. Or you can take down some of the majorly corrupt clans in the game, like the Silver-Bloods and Black-Briars, do quests for the natives of the Reach, spend some time with the Jarl's other Thanes and nobles, act as a go-between for holds you are Thane of, etc. I'd like my reputation to be more widely-recognized, as I haven't fetched any mead for a long time, and the guards shouldn't be threatening to cut the hand off a Thane. Basically, I'd like reaching the top to mean something. It would also be nice to have alternative routes to completing quests; the opening quests for the Thieves' Guild, for example, seemingly offers multiple ways of getting your way, but the only one that actually works is thuggery (and my speech was pretty high then), and I wanted to play a
thief, not a thug. Could I not have simply stolen the money?
Eh, I have many more, but those are the 5 I want most to really rock this game.

Edit: Okay, one more. Something to combat save file bloating, like a 'Dispose of Corpse' option, especially for things like ash piles. Maybe the mod works as a pack that changes how long things linger in-game as well, like those infernal arrows I fire at dragons and can never recover.