Concidering the fact that changes which would make the game more interesting, complex or challenging, are probably out of the question, here is a small wish-list I want to make;

• Radiant AI. Radiant AI in Oblivion was amazing, almost perfect! I want chaotic situations to occur to the extent that each playthrough feels drastically different. Personality values would differ per playthrough.
• I would like for player actions to have some impact on the world, and also the, uh, "radiant-ness." What if on some playthrough, Riverwood would get burned if you don't stop a dragon(radiant quest) in time(ie. level 10). And things like Raven Rock or Stronghold from TES III, love that kind of stuff.
• Radiant cities, towns, economies, though that's probably too much to ask. I loved the random Orc NPC's you sometimes saw in dungeons in TES IV. Imagine going to tavern and seeing one bragging about his loot, with perhaps an option to buy some at a discount price. Things like that bring so much more life to the world.
• Co-op. Need I say more? At least extend the creation kit to the extent that co-op is possible.
• Acrobatics/Athletics skill.. just please. I want to jump from one city to another again.

There's also more like destructible environments and such, but those are probably best saved for the next gen. Though I'd imagine a shack->burning shack->burnt shack wouldn't be too difficult to make.