If you're on PC, there's a great mod that adds roads to the in-game map. This really should have been in there by default. When I first tried to go to High Hrothgar, it was a huge pain because I approached it from the wrong side of the mountain. If you look at the default map, it looks like maybe you can approach it from many different directions.
Most of my other complaints are the usual interface quirks, like the fact that you can't assign quick switch buttons 1-8 for both hands... like if you wanted to dual wield lightning you'd have to press a number twice, and then if you want to switch to weapon and shield you have to press two other numbers, one for each hand. It's worse if you use the controller cause you have even fewer slots, although you can press a single direction and it'll know to switch to weapon and shield for example. Anyway, it's inconsistent with keyboard, and way worse cause you only have two slots! I switched to keyboard/mouse for this sole reason, and eight slots is still too few IMO. There are of course mods that fix this, but once again, if you're on console you're SOL. I kind of like the combat "feel" of using the controller better, even though I played Oblivion and the Fallout games with keyboard/mouse.
The quick switch menu is nice, but the sorting is terrible. I wish we could sort this list manually.
Riding a horse while having a companion is just stupid! Your guy just runs after you? The whole horse thing was just an afterthought, you could tell. So many things missing. I know the game is huge and there are finite development resources, but they probably should have taken it out and made it a more complete DLC addition later.
Ok, this isn't a real complaint, but it kind of is also! There are just TOO MANY LITTLE QUESTS sometimes, and a lot of the lesser ones are just variations on 'go clear out a cave' or fedex quests, and for some reason, I've been trained by past games to always accept them. It's hard to complain about having so much content, but I find myself not wanting to talk to people in towns sometimes for fear of getting another quest in my journal! It really brings out the OCD, having this huge to-do list.
I could go on, but actually I love this game and I could list a million things that I think are great, too. In fact, when you have such attention to detail and do so many things right, it just makes the flaws stand out even more.