The world of Skyrim (or Oblivion) is essentialy a dead, lifeless world.
Nothing changes, no matter how many dragons you kill or don't kill.
You can just leave everything alone, or go murder every creature and bandit, it changes nothing.
Doesn't matter how many quests you do, how many caves or ruins you clear, they were not having any effect on the world.
Nobody will thank your for it.
You can clear all the dungeons and kill off all the wolves and sell all the loot, nobody is going to get richer (beside you) and the life in the town doesn't improve, the roads won't get safer etc etc.
Consider this: If a dragon attacks a city, it doesn't matter if you kill it or won't. The city will be fine, since it cannot be destroyed, it's a static/indestructable place. There is no danger, that it will disappear, and you know it.
Basically, your actions in the game does absolutely nothing. The only thing you can change is your mate's armor and weapons , but what good does that do, when you send them away and they just gonna sit in your house?
This is no different to any other Elder Scrolls game, though, really.
What you're asking for, Bethesda has been working on implementing since Arena and beyond. Radiant quests etc. are all meant to add some "life", which are then balanced against gameplay experience and player feedback. So it's not like they haven't tried.
I would like more consequences, of course - having dialogue change relative to your reputation, for example - but at the same time I understand the balance that they're always working with: essentially, the more "living" the world you make it, the more limited the range of gameplay options become.