First, racism in Skyrim.
No, I am not meaning to hold the racism of the story in a bad light or try to link it to the real world. I am speaking of gameplay and mechanics in relation to the story.
I have two Dark Elf characters (and a High Elf), and we all know the reception Dark Elves get when stepping into Windhelm. I find, and these are my views mind you, that the racism within the context of the story doesn't match the gameplay. It somewhat actually pulls me out of the story and makes me lose my connection to the character when I can, as a Dark Elf, walk into the Windhelm Inn, get somewhat insulted but then pay the meager 10 gold for a room. In my opinion, perhaps leaning more towards wanting to add more immersion with a bit less concern on gameplay balance/fairness, that the racism of the story should play a more prominent role in the gameplay, i.e. a Dark Elf in Windhelm should be charged higher prices because the people of Windhelm don't want them there. I'm not saying actively have citizens of the city attack you (although that would be very fitting if your bounty was high enough), but a restriction on quests, or bonus to quests, shop prices, what have you could be affected by the race you choose within a story like this.
Second, depth in gameplay.
Here are some things I wish could have been included in Skyrim or perhaps the next TES game:
Choose a past for your character, allow the player to construct a story for their character that may lend some bonuses at creation. For example, if you choose Riften as your hometown you may get a small bonus to Speechcraft or Pickpocketing.
Be able to equip pretty much anything (earrings, cloaks, etc), I was kind of disappointed that you can only equip one ring in Skyrim. I was a bit more disappointed when they hadn't added things like cloaks that could be put over your armor, earrings for additional bonuses, etc.
Have your achievements in-game become better known in-game (i.e. in Skyrim you become the Listener in the DB, then join the Thieves' Guild and be able to bypass the low end quests), this part really bugs me and really does a good job of pulling me out of the story and severing the connection with my character, especially since in Skyrim the Thieves' Guild and The Dark Brotherhood have ties to each other. It doesn't make a lot of sense to become the highest rank in The Dark Brotherhood and then have everyone in the Thieves' Guild talk to you like you are some whelp. I know this has happened in the past but I thought it would have changed in Skyrim.
More customized gear (Magelight on weapons, color schemes, etc), just seems like there should have been, or should be in the future, a mechanic that allows you to colorize your gear, or to allow you to pick from a few different designs of gear when crafting.
Thoughts?

Bethesda's philosophy in recent years has been to limit no one. Let every player be able to accomplish anything possible with no restrictions. You can join any guild even if you don't have the required skills, for instance. Limiting a certain race or making things more difficult for a certain race doesn't jive with this philosophy. Remember, there are players who only play one race. You have players who won't play anything except a Dunmer. Bethesda fears that those players won't like it if their character has to pay for a room at an inn than others. :\