I only have a few problems with Skyrim.
I hate that you can't kill "essential" NPCs. Morrowind let you kill anyone. Sure, you might get a message about "the thread of prophecy has been severed" or whatever, but you could keep playing anyway. You had to live with the choices you made, and you could even find another way to beat the main quest. Especially in cases where the definition of "essential" seems completely arbitrary, it really ruins the immersion.
In a similar vein, I don't like the inability to manipulate certain objects. What, exactly, is stopping me from moving those objects specifically, even though I can easily move things like troll corpses which should probably weigh twice as much as I do?
This is a problem I have with RPGs in general: the disproportionately large numbers of bandits. In my time playing Skyrim, and video games in general, I have run into vastly more bandits, outlaws, highwaymen, and plunderers than I have ordinary people. That just doesn't make any sense to me. Where are all these bandits coming from? They so heavily outnumber everyone else that they couldn't possibly be turning a profit from their raids and thievery.
I understand why all these things exist, from a gameplay and story standpoint, but they still bug me.