I've got way too many for it to only be one thing.
No Weapon Armor Degradtion
Preset Character Creation (Oblivion's was better).
No skippable Tutorial
Less Attributes
Horrible Journal
Too many terrible quests.
Horrible Dialoge
Esbern, Esbern and more Esbern, oh and let's not forget Delphine too.

Finite Merchant money
Companions Guild
Marriage (It's shallow)
No combat in Water
Auto Health Regen
No Spell Creation
Less Skills
Bugs that make the game unplayable, plus another +100 things I could add. I love Skyrim but I'm starting to notice the flaws and that's not a good thing. I can deal with the flaws that Oblivion and Fallout 3 have but the flaws that Skyrim has are something that I can't ignore.