Mostly, I just don't like the overall easiness of Skyrim. Custom created classes and custom created spells was the SOLE reason I played Oblivion, and now it's all gone. Great, now all I get to pick is basic RPG templates, Fighter, mage, Theif.
I only plausible thing that is better in Skyrim are the Graphics, but heck, the snow in Skyrim looks plain and uniform in color.
Rather than completely change things, they should have just tweaked out Oblivion's system and made it more in-depth and more balanced. Magic, as a whole, was WAY more powerful than either blade/blunt/marksman/hand to hand.
Hand to hand was a joke. At higher levels you would have to punch guys a fucking bajillion times. No poisons or enchantments to help you either?!?!?! Magic?? Weakness to shock 100% for 30 seconds and weakness to magic 100% for 30 seconds, followed by 100 shock damage over 2 seconds (200 total damage) =FUCKING DEATH (for most things :).
My high Elf Atronach custom mage was the shiznit. Need magicka? Just get your alchemy to 100, and walk from skingrad to Kvatch, just along the road, and there's like over 100 Flax seed, your cheap and plentiful magicka potions!
I thought a stealthy type character was perfectly balanced and fun and interesting, my favortite. Not overpowered (as long as you don't have 100% Chameleon), not underpowered.
Warrior type characters, either blunt or blade, was imo incredibly weak, especially at level 40+ with the difficulty cranked all the way up. My heavy armor blunt Orc was a tank, but he took forever to kill things and I never went through so many repair hammers in my life! (that is, until armorer reached 100, which took FOR-fucking ever without training).
Enough about Oblivion though, I'm only playing Skyrim when I'm utterly sick to death of Oblivion.