One thing that is really minor but aggravating the hell out of me is how every exterior door in this game says 'to Skyrim'

I liked it how in OB and MW when you were leaving an interior cell it told you where you were going. Leaving a house in Balmora says 'Door to Balmora' or leaving Ulummusa says 'Ascadian Isles Region'. In Oblivion leaving doors would tell you 'to Colovian Highlands' or some such.

If caves to exit to Eastmarch, or Haafingar, the Pale etc.. whatever the names are, it should say so when opening the door. It helps associate them in my head, not so much to really let me know where I am (got my uber map for that) but it helps to sort of organically define the holds boundaries.

I don't even know them all now because (1) some names are kind of confusing (2) I almost never see them in-game and so don't really associate them with regions.

A side note would: It would be extra cool if when looking at the map there was a field showing what hold the cursor is over.

This seems like such a stupid thing not to have done.

I agree.. If you're in a cave outside of a place called... Treacher's Park (for example), then the exit should say "to Treacher's Park" not "to Skyrim".