One thing that stands out to me is the design of Skyrim, from the mountain snowy paths, caves, cities and towns. The ancient structures and ruins are truly awesome with a real sense you have found something old, dangerous yet exciting to explore. The mountain clouds and wind swept cliffs add extra depth and real sense of height.
Random People
They are not just people doing nothing, they have a cause or purpose and actually are going somewhere and properly interact with the world and enemies. You can actually follow them and they don't disappear which really gives a sense of a living world.
Events Happen In Real Time
I like how events happen once you have done them and that place changes in front of you. An example would be clearing out a mine, you make peaceful deal for some people to leave the mine and you see them leave and the miners then enter the mine and start work again. I also like how you clear a bandit camp and soldiers then take it rather then left doing nothing.
Music Score
The music suits the game perfectly and it's surrounding and the chanting cries after killing a Dragon or getting a new shout are spot on. The soft music played while exploring gives the world a more sense of wonder while the harsh, solid music kicks in when fighting.
Sense of Accomplishment
Helping people is very rewarding, not only because people give you coin or items but because of the things they say and the how the people around them act towards you. You feel welcome to a place that was once so hostile.
Guards
Although the guards do repeat themselves a lot, they do change what they say according to what you have done in Skyrim and even what you are wearing. It's rather nice to hear a guard pick-up that you are wearing Ebony armour and make a positive comment about it. It's also funny to see them react when you drop things in the streets.
I'm sure I could think of other things I love about Skyrim but for now, these are what appeals to me the most.


