We have a number of untold stories just begging to be told...where are the psijics and can we go there and why are they watching the dragonborn? How did the Dwemer disappear all at once? How did the Falmer become the way they are? Who is the headless horseman? Some of these are probably too large for a DLC and might be for TESVI but it would depend on what they do with it and the answers. It could set up TESVI. Things like that. I'd love to know more about many things in the TES world.

I like the idea of joining the Psyjics, that could be a very interesting DLC... and in addition to a new (and probaly somewhat epic) questline, it could introduce new items and spells; I'm particularly thinking of the Psijic Robes, new, unique staves and new, high level spells. You'd probably have to complete the College of Winterhold questline before starting a Psijic questline, though... unless the two questlines ran parallel once you reached a certain point, and only certain things were given away as you went along, so that nothing would be a spoiler.
I also think that the idea of finding out what happened to the Dwemer would be interesting, and could allow for some more time travel aspects (using an Elder Scroll, of course). Maybe it could also show how the Falmer were tricked by the Dwemer, and what led them to become the bitter creatures that they are. For the time travel, I'm not saying the Dwemer wouldn't disappear, or the Falmer would remain civilized, or any major changes like that, but maybe it could slightly change the present-day Skyrim, depending on what choices you made (siding with the Dwemer or Falmer, perhaps?). However, maybe these two would have to be seperate parts in a DLC, or even different DLCs.
I would like an arena back, plus explore some places outside Skyrim, but overall I'm not very picky. I'll take whatever they make. It just better include new weapons and armor.
Yeah, I agree, I think that the addition of an arena, with a progressive ranking system would be good. But I think it'd have to be improved over Oblivion's... if they did this, there should be unique weapons and armour that you unlock as you progress, and you could only use the weapons and armour that you've earned in the arena for the actual fights, until you reach the highest rank (champion, I suppose). And I would actually like to be able to fight other people once the highest is achieved, not just animals or monsters.
Well, maybe something to do with the Thalmors..
Yeah, I'd like to see something about the struggle against the Thalmor and Aldmeri Dominion, maybe something like the civil war questline... resulting in the Thalmor being driven out or suceeding. Or something like that.