I just slayed a dragon and for the first time in the game I didn't absorb his soul. What's up with that? Thought it was supposed to happen for every one of them.

Was it one of the ones you get directed to kill in the Radiant bounty quests? IE, "go kill the dragon at Ancient's Ascent / Mount Anthor / etc."? If so, while those dragons do respawn, you can only absorb a soul from them once. So if you went to Ancient's Ascent (for example), killed the dragon and absorbed its soul, then got a bounty quest later on to go back and kill the dragon again, you wouldn't be able to absorb that soul a second time.

Otherwise...I've heard of this happening as a glitch occasionally. Not much you can do about it AFAIK.

This was one I came across in the wild, so I've no idea if it was attached to a quest or not.

Don't worry about it. Respawned dragons don't give out souls and don't burn away to a skeleton either. Starts to happen after you've played for a while.

The first dragon you can encounter is on the main quest. It doesn't grant a soul because the first word of unrelenting force is unlocked automatically.

^{Thanks for the info everyone! Now I won't worry if I kill a dragon and nothing happens!}

He didn't say that was his first dragon, he said that is the first TIME he didn't absorb a soul.

This is somewhat a bug though, as they are all supposed to give souls. Some do in my game(unmodded) and some do not.

If you're on the PC the Unofficial Elder Skyrim Patch, available at both SkyrimNexus and the Steam workshop fixes this.

Let me put it this way. There is no shortage of dragon souls in the game. My first character found and unlocked every word of power, and he has over 30 dragon souls in reserve. If this is a bug, it's not one worth the resources to fix. There are many serious bugs that need those resources desperately.

Well I musta killed at least 20 respawned dragons in the game and I still have 90 souls.