Well, the problem with Skyrim is, as far as I can see it, that while you are free to choose the order in which you do your quests, once you do a quest, you're pretty much locked into one corridor filled with obstacles. There rarely, if ever, are multiple ways of solving a quest, usually it boils down to "go to Dungeon A, find McGuffin, deliver McGuffin to questgiver, get reward". While this is not really that bad, and the whole package is so well executed that one hardly minds, the fact that the game has a single storyline and will not let you influence it one little tiny bit does come across as needlessly jarring in this day and age.
The other problem I have is that the levels of immersion available to me vary a lot, depending on whether I am running around in the World, or running around in the City. Out in the wilderness, everything is fine and atmospheric, and it's easy to get into the mood of it all. But enter a city, and suddenly the severe limitations of this game hit you, as people will spout random lines that noone would ever say to a random person in the street ("I work at the market stalls so I can learn the merchants' trade." Fan-****ing-tastic. WHY SHOULD I CARE, you stupid person). Or the guards, who seem at least a bit aware of what is going on in the world, but still seem to not care that you are the bloody Dragonborn, Skyrim-renowned slayer of big scaly things, Archmage of the College of Winterhold, Thane of the city, and various other titles and accolades besides, and would like to remind you that there should be no lollygagging, or their knee injuries, or how if I would disrespect the law, I would disrespect them (DISRESPECT MY GIANT AXE, you morons).....
I like Skyrim, I really do. But sometimes, after having played it for a few hours in a row, it can get a leeetle bit grating.