SPOILER TIME! Flee if you're not interested.
It's very hard for me to avoid comparing this to Dragon Age. What with the billion dragons and all. That said, my biggest criticism is immersion. That's an area that most BioWare games accomplish seamlessly, and Bethesda just fails at.
Example. I return to Whiterun after offing a cave full of bandits. Colossal roar overhead. Weary sigh from me: 'Another one of these fucking things?' Dragon fight ensues. Townsfolk are running around. Guards are milling about with swords drawn (perhaps hoping the flying thing will hop down to ground level?) And I'm waiting for the damn thing to sit still long enough to blast it with giant ice spikes. The battle takes a good five minutes.
The dragon finally collapses, I absorb its soul, and a half dozen townsfolk are looking on with awe. Pretty spiffy, right? Dialog is appropriately awed/reverent/fearful. Pretty cool. Then the event is 'over' and the immersion breaking begins.
The first comment from one of the departing guards is 'My brother is off killing dragons, and I'm stuck here on guard duty.' Hello? Giant skeleton not three feet away? Next comment on my way to the keep: 'If a dragon attacks Whiterun, we'll be ready.' You mean the NEXT time, or was that little fracas in the market circle just for practice? Then I get to the Jarl: 'I hope we never see a dragon in Whiterun.' Dude, you cannot tell me I'm the first one up to the keep.
This is a classic Bethesda issue. The randomness of the world does make gameplay more dynamic, but the world doesn't react to what you do. It saps those amazing moments of their immediacy from both gameplay and story perspectives. Fallout avoided a lot of this because wandering the wastes killing bandits is the norm for pretty much everyone. Also, Deathclaws didn't attack settlements regularly. You didn't have situations where you just did something awesome and the townsfolk go back to normal. You did your awesome shit far away from town. I feel like some consideration for this should have been given to Skyrim.
Oh, another complaint: Goddam telepathic guards. I'm not playing a lawbreaker (this time) but in the quest to visit the big friggin tree the pilgrim with me got right in the way during the spriggan ambush and caught on fire. He's then in my face with fists flying. Now, the dialog in this part is so ambivalent and the action so poorly scripted, that I wasn't sure if he was on the spriggan's side or not. After all, the 'humans' down there weren't really people, and this dude had made a big big fuss about accompanying me. Was he on their side? I dunno, but he's in my face now, and maybe he was attacking my Huscarl? Not sure, but Lydia was trying to take his head off, and that's good enough for me. Ice Spike torpedoes: ready. Fire! Dude goes flying. We sheathe swords and spells, and call it a day. Or so I thought.
I transport back to Whiterun whereupon a guard yells 'We know how to deal with your kind!' and swords come out of nowhere. Three minutes later, half the guards and a third of the townsfolk are dead, and I get to ask: 'What the fuck was that??' Apparently the pilgrim really was a real pilgrim who just didn't like getting set on fire. Thing is, I'm pretty sure Lydia didn't rat me out. Hell, she's the one who cut his head off. So who else knew about it? Stupid. Dumb. Stupid. I ended up reloading and just letting the guy die to spriggans before wading in myself.
What's most frustrating is that the rest of the game is great. It's beautiful, the mechanics are fun, and dungeon crawling is a hoot. They've even fixed companion sneaking such that they share your stealth level where in Fallout if you went anywhere with the Brotherhood of Steel chick she's clanking around while you're stalking bad guys in your stealth suit. My huscarl is pretty sneaky for a chick in full plate. Way cool. Yet, dealing with the world at large, the society itself, just feels completely primitive, incomplete, and shoddy.
And that's a lot more words than I intended to write on this topic, but there ya have it.