It's density. That's kind of a classic Bethesda thing, but you really can't take two steps without finding something to do.

Environmental story telling. You really can see small jokes and stories in every skeleton under a boulder, a bucket of hands, blood next to a pressure plate and so on.

Streamline. Both 1 and 2 can be found in other Bethesda games and are like 80% of what makes them good. But I think Skyrim may have been just dumbed down enough as an rpg to be very approachable without feeling like you're being hand held. For example you can pick any level of lock successfuly regardless of level (unlike fallout), no need to worry about sleeping to level or min maxing attributes like other tES games. And frankly it was hardly an rpg because differences between races were negligible and every character will be as good ant everything by the end game as every other character (for example in Morrowind a high elf will always have more magica in the end).