So far I've been most impressed by all the little things that take the immersion to the next level. The sound design (the music, the voices, the thundering environmental effects -- everything!), the third-party banter (which eventually will repeat on later play-throughs but for now is brilliant and refreshing) and voice acting, the engagement of the NPCs with the environment (an innkeeper rents me a room for the night... and then gets up to show me to my room), the animals (both wild and domestic; normal, scruffy, everyday dogs!), and the presence of children doing and saying children-like things in the towns. Skyrim makes it's world feel like a living and breathing place more than any other RPG I can recall.