Not so much new things as things returned from previous games:
-Couriers delivering letters. This was in Daggerfall too and I really like it.
-Seperate models for different sizes soul gems. This was abandoned in Oblivion and Im happy for its return.
-Seperate models for different potions. Same as above.
-A diversity in non hostile creatures. This was in Morrowind and Im happy that not everything in the woods goes for my throat.
Oblivion only had deer.
New things:
-The night sky. Stunning, beautiful, gorgeous. The moons now each have their own orbit. The aurora. its beautiful.
-Spell tomes. I especially like that you can find one in loot.
-Disenchanting. I really like the idea of destroying an item to learn its enchantment.