Better characters.
Out of all the NPCs in the game, almost none of them have any character depth deep enough to be genuinely interesting. Sure, they say cool stuff on the surface that helps bring the towns to life (Guards, kids, food vendors) but most of them hardly have anything say beyond "Oh hey there! I'm the town Blacksmith."
When Dawnguard came out, one of the new characters, Serana, was probably the most fleshed out character to date. She has an interesting past (which she doesn't just come out and say) and the best thing yet- She actually develops as a character. Her views actually change as the questline for Dawnguard progresses. And Bethesda really nailed her passive dialog too such as "Is this a dwarven city? I can't believe they'd let it get so run down." whenever you take her into a Dwemer ruin.
Context sensitive dialogue really brought her to life as a character and increases the immersion factor greatly. So to sum it all up, I think we need more characters with these traits. Shopkeepers who actually have interesting stories to tell, Townspeople whom you must earn their trust (small radient quest?) or have a silver tongue (speech) to learn their pasts, and compelling companions who I actually want to go exploring with, rather than using them as pack mules for loot.