bloodbowl: Some people have already mentioned, but I might as well say it as well. Lack of decent fast-travel.
A lot of people seems to think that having to walk a lot, even when the trip itself isn't really dangerous at all, makes the game more hardcore and challenging. Perhaps it does, since it will test your patience more than anything else.
Now, I love a good challenge. Difficult enemies to overcome, a tricky boss, having to micromanage multiple things, cool puzzles to solve... etc. But gaming time is limited now, and honestly, even when it isn't and in the moments I have a lot of time available, I rather spend doing something else rather than just walking for several minutes, or even hours, to get to a location.
Sometimes it's nice to actually walk to the place when you are in the mood. You can appreciate the scenario of the game, maybe even find secrets and some other stuff along the way. When you just want to explore, it's fun, but most of the time, I just want to get from point X to Y asap.
It doesn't have to be a super streamlined fast-travel system, where it seems like you can just teleport anywhere, but it has to be at least convenient.
I played morrowind again couple of months ago, and my goodness. Not only the character moves at the speed of a limp turtle, our stamina takes huge a hit when you "run". I'm in a decent shape and can run for a whole hour with no trouble whatsoever, so why does the hero of the prophecies, nerevarine, can't do the same?! It doesn't help that to fast travel in the game, you have to find a boat or a silt strider.
One thing I find interesting is that reasonably convenient fast travel has existed for a very long time. In Dragon Quest 3 (and later), there is a spell you get that, when cast, willl open up a menu with the list of towns you have visited; choose a town from the list and you'll be warped there (as long as there isn't a ceiling where you are, and the spell isn't disabled in the area you're in).
In Morrowind, the issues you have with speed and stamina can be mitigated:
* For speed, having a high Speed stat helps, as well as playing a heavier character (male Orcs are the heaviest race/gender combination). Athletics also helps, but only if you're runnig.
* There are two ways to deal with stamina (actually what the game calls fatigue, but the stat is misnamed IMO). One is to get high Endurance, which also helps with health games at level up, as well as lung capacity. Another is to create a spell or a magic item with the "Restore Fatigue" effect; it's a really cheap effect, so if your Restoration is in the 30s or so, it shouldn't fail too often. (Of course, the spell will fail more often when you're tired, so be mindful of that when using such spells, but if you get your Restoration high enough, you will be able to cast a 1 Magicka cost Restore Fatigue spell reliably even when exhausted.)
* There's also, of course, the option to create a very powerful Jump spell. If your load isn't too heavy, and if you jump from a high spot, you can traverse huge distances very quickly. (There is, of course, the small problem of landing safely, but that will be left as an exercise to the user.) I consider this the most fun way to travel in Morrowind.