As some have mentioned, some of the best stories are told in the subtle clues and remains that have been left behind in different locations. A skeleton buried under a pile of rocks, holding a pickaxe can tell you a compelling story, without the need for dialogue or interaction. Often the quests are presented much more straightforward and upfront, you often know right away who is the bad guy and why, rather than discovering this in the form of a developing story.
Taking an example from the main storyline, when you enter Sky Haven Temple, this is a massive location, with an obvious historical importance...but nothing spectacular happens, you go in, wait for your slow companions to catch up and then watch and listen to them have a conversation about the wall (which is about as interesting and emotional as a dinner conversation between an old couple). This is a great moment for some cinematics to enhance the story, pause for a while and let the camera pan across the vast templeground, zoom in on the facial expressions of the scholarly companions as they study the wall, throw in some thematic background music and echoes of Dragonshouts and you just got yourself a real epic breakthrough in the story. There is nothing wrong with the creativity and imagination behind the story, it's just told in a way that makes it feel underwhelming, it's the same sort of pace, tone and atmosphere as when you finish a generic radiant quest.
Imagine a plot background where part of being the Dragonborn means that you occasionally have visions from the lives and experiences of previous Dragonborn. When you reach certain locations for the first time, you are momentarily transported back in time, to when these ruins where vibrant and alive and you see part of the rich and well written lore and history that is TES through the eyes of a historical Dragonborn.
I know TES has never focused on cinematics as a tool for their games, trusting that the open world and freedom will be enough to satisfy their customers imagination. But with more and more people remarking on the storytelling and development, I see cinematics as one aspect where this can develop and improve.

To me, that's what the series should always aim to be. There are plenty of story-driven RPGs out there. TES shouldn't try or pretend to be one.