Very out of the way places that you can deduce the location after reading clues about it somewhere else, clothing of random NPCs showing not only social status but also their (sometimes secret) profession and political affiliation, regions and its inhabitants displaying different cultures (you can tell a town's allegiance the instant you set foot in it, just by looking at the buildings), lotsa stuff hidden in nooks and crannies to reward exploration (I never found that nice sword in Balmora despite walking past that building tons of times, and even entering it sometimes), etc, etc. A more...enthusiastic fan like
DraQ could tell you more. If you played it and saw "nothing much", then you are in the right place because you have some very unrealistic standards