Everyone knows New Vegas did a lot of stuff better so its sad the progression didnt continue.
-Better characters
-Better follower commands
-Better dialogue system/more dialogue
-Better quests
-More choices to make
-Haircuts to change facial hair appearance
-Marked followers on map
-Better faction system
-Multiple endings.
With the good comes the bad...
Fallout NV also had:
-Much Smaller game world
-Fewer locations to visit
-More linear playing style
-Total lack of random occurances in the game world
-Much smaller interior and underground locations
-many interiors/caves were exact duplicates of others
-Puny Vegas (even if the gates weren't there)
-too many artificial boundries
I played New Vegas twice and then spent many more hours playing with mods. I really enjoyed my time with it but this to me is apples and oranges. My preference is towards Skyrim and Fallout 3 but they did some things very well in NV that I would love to see implimented into Bethesda's games as well. Some of it can typically be gained through modding which is where some of the NV ideas originated anyway. Customizable weapons and some of the other features of NV like follower commands had already been made available for FO3 through the modding community.
The thing that Bethesda does that I really like is that they create a more believable game world, one in which I feel like a smaller part. Things are happening around me randomly that give it character and make it more interesting and life like. As for stories, they are everywhere. Most people just never take the time to find them. There are small stories all over skyrim found in caves, crypts, dungeons, and forts through written materials and hints given by NPC's. I loved that in Fallout 3 and I love it in Skyrim too. NV had none of that and I really missed it. It made the more open parts of NV very boring as there was absolutely nothing to look forward to outside the main story lines.
The best thing for all of us would be a blending of the styles of the two companies. That would be a match made in gaming heaven but I would imagine that will never become a reality.