Adding nuclear explosions, rainbow-farting ponies or a slap by your mother will?
You only have not realized what it means for a game to be deep. You are too insensitive and this is why you need big impacts.
That's not what I'm saying at all. What makes a game deep is story, and what makes a story deep is character and theme. Now, don't get me wrong, I quite enjoy this game, and its overall story, but I do agree that the actions you take don't really have much of an impact on the story. When I defeat Alduin, there's no real celebration or fanfare. The only people who actually mention it are Paarthunax, the Greybeards and a few guards. Killing the Emperor doesn't throw the Imperial Legion into shock and disarray, nor does it spurn the Stormcloaks to press an offensive. If you do the Dark Brotherhood quest before starting the Thieves Guild, Maven still talks like she can have Astrid sending assassins your way with the stroke of a pen. The world is largely static, and even when you do things that alter the fate of history, very few people ever take notice or comment on it.
Largely this is due to an overwhelming lack of character in the protagonist. The protagonist has absolutely no character whatsoever, because he/she is an avatar for you through and through. You get to decide everything about the protagonist, age, six, race, hair, body type, and everything about the character's hopes, dreams, and fears. This is a good thing for role playing, but it makes for weak characterization because characterization then becomes the responsibility of the player. Now, if this was just you writing your own story that'd be fine, but you're having to write your own story while fighting with the story of the game. You can't have long conversations with the characters, and your relationships never expand beyond either "Yay! We're friends!" or "Boo! You're mean!"
That's not to say that games that don't offer much in characterization of the protagonist can't be deep, it just becomes so much more important to properly define and characterize the rest of the cast. Bioshock did this to great effect. The main character never says a word throughout his adventure in Rapture, but Atlas, Tennabum, Andrew Ryan, and everyone else is so well defined and interesting that you get enveloped in it anyway. The difference is Bioshock is very narrative driven, and as such is incredibly linear, but that makes you stay in constant contact with the characters, and you really get to know them. Alduin shows up in 4 or 5 quests, and doesn't really do anything but either fly away from you or try to kill you.
I'm not pinning this on Bethesday. While it's true that they wrote the game's story, they wrote it knowing that fans wanted to roll play and create their own stories, so they had to have the most basic of plotlines for the overall questlines. If this had been more narrative driven people would be complaining because they don't have the freedom they come to expect. Since they have that freedom, which to put it simply, is to do nearly anything they want in any order they want, they get upset because Bethesda didn't program ten million different ways for this story to progress, depending on which route the player went.