I am really, truly impressed by the stability and (relative) efficiency of the engine this time around. My computer has no problem running Skyrim, whereas Oblivion I would have plenty of stuttering and funky problems that I would usually have to find tweaks to fix. It helps so much for immersion when I rarely, if ever, crash to desktop. In addition, I love how the races look. Oblivion was a joke when it came to faces, and it was hard to connect to a lot of the NPCs as a result.
The dialogue has improved this time around, and I don't feel like every generic NPC is 100% a carbon copy of another. What's more, I am amused by the unique responses that can occur when you do things around NPCs, like dropping armor and having an NPC running up to you to ask if they can have it.
I feel like the terrain is a hundred times more interesting and dynamic than in Oblivion. I see a lot less copy/paste when it comes to a lot of the terrain elements, and the same goes for the dungeons. I really like how they've made dungeons this time around. I love looking for little details, and the developers have lovingly scattered them all over dungeons so that each one has something relatively unique about them. Granted, there's only so much you can do using the same textures/dungeon pieces, but I feel like they managed to do a very good job at keeping me interested.
I find a lot of the quests to be pretty fun. At least the ones that aren't FedEx ones. Ironically, I found the sidequests a lot more compelling than the main quest.
Magic's much flashier now, which I definitely appreciate. It got tiresome throwing little balls and making your enemies glow in Oblivion. Now it feels more satisfying when I lob a fireball, for instance, although usually it's the enemy that's doing that to me...
Perks were an interesting concept that I'd like to see expanded upon. While the interface is a little wonky, the artistic depiction of constellations is, I feel, very fitting for TES.
While I do have lots of negative criticism over a lot of Skyrim's elements, I feel like the good outweighs the bad. I've put in so many hours into vanilla Skyrim compared to Oblivion, and I am so going to mod the crap out of it and play it even more. I just love replayability.
