As far as nudity, run to the mods, lol. Seriously, in addition to the areas mentioned above (gore, mutilation, etc.) I think another reason for the M is the advlt situations and conclusions in the game. I mean consider the tradtional children's game: the hero has adventures, kills the bad guys, saves the princess, and everyone lives happily ever after. Here we have Stormcloaks v. Empire: they're both equally corrupt and neither represent a morally "good" choice (for you Americans, this should sound familiar, lol). The Companions have you beating up people; the Thieves guild has you framing them and the Dark Brotherhood has you killing them! You would never see this in Zelda, lol, hence the M rating.
They should bring back the knights of the nine now that was a straight shooting bunch.

Oh and Morrowind was rated "T for Teen".