For me, I miss Calipers. I don't know why, but I was really sad when I found out they weren't making a comeback. Bethesda really let me down on this one.

I miss some of the old weapons and armor types Stahlrim etc.
I miss, I miss the raspy dunmer voices.

Wait, those may be pretty big things.
Yes calipers I suppose is something I miss, I also miss yarn a little bit, I haven't found any in Skyrim.

I miss things like that too, the random "junk" items from previous ES games, like calipers and yarn. In the future I'll probably look back on embalming tools and ruined books fondly.

And although I really like the new Khajiit voices, I miss the Oblivion Khajiit and Argonian voices a lot. I was also disappointed that the voice actor for Nords in Oblivion doesn't seem to be anywhere in Skyrim. (I could be wrong, maybe I just haven't found him yet...I hope).

Ah! I forgot about yarn, now I can't role play a cuddly khajit anymore

I miss feeling like a true guild master or a hero because i just defeated Alduin.

I miss Goldbrand the most. But I miss the Imperial City. I was hoping there would be a major city like that, but nope. Not too big a deal though. Goldbrand on the other hand...

I also miss some of the booze from the earlier games, Mazte, sujamma etc.

And some artifacts, but they may count as big things.

I miss map size. Skyrim just feels so small to me. I miss having to go on an all-day journey (game days) to get to a far away city or dungeon.

EDIT: I guess that's not a "little thing"

I said little things

Really, I thought it took about an in game day to get to Solitude to Riften

Why do you miss that stupid..... golden, awesome, shiny, one hand katana that lights people on fire, so freakin' much?!

all the different types of glasses and bowls and table utensils, I [censored] you not

i miss not having umbra! that was the only sword that I used in the game! (I use bows and spells and maces, umbra is the only sword that I used)

Poisoned apples.

Player head tracking. Conversations feel bland without it.

I miss Redwort Flowers, They were so hard to find, Especially when you pissed off Arcane university...

Totally forgot about those, I also miss Oranges, but they don't grow in skyrim so that's probably why they're not there. Actually I miss a lot of the fruit, watermelons were awesome.

this -- it is hard to watch how the ears and face khajiit react to the play now

The noises trolls used to make. I really miss their shrieking, & wailing. Now they just growl like everything else.

Scribs. I thought they were cute, and refused to kill them.

imps?

I miss being able to cast magic while holding a weapon and a shield all at the same time. (Although, I like Skyrim's magic system too.)

I miss the vast amount of spells, varying spell effects, and spell making that previous games had.

I miss rank ups.

I miss the old guild questline lengths. The recommendations quests in Oblivion took longer than the entirety of the College of Winterhold questline. (Which is quite sad, honestly.)

I miss the Gray Fox cowl!

I miss M'aiq actually lieing about things, but these M'aiqs are pretty awesome too.

I kind of miss the silly conversations NPCs had..."I saw a mudcrab the other day."

I miss the sound of quest log updates from Oblivion. Just the sound...kind of odd, but yeah.

I also wish stealing in Skyrim actually was worth the gold you'd get. And you actually had to sell stuff to fences to proceed in the Thieve's Guild line. In Skrim's TG, you don't have to do much stealing at all.

I miss the spell scaling it wasn't perfect but it's still better than skyrim

Candles from Morrowind.