1) The Freedom
God there is a lot of freedom in this game, go pretty much anywhere at any time, and it doesn't stop after you finish the main "story". There is so much to do and explore.
2) The Side Quests
It seems like they put more effort into the side quests and those stories then they did the "real" story, some of them are funny, some are pretty down right depressing, and some are really insightful, such as the cross-dressing guy who gets Stockholm Syndrome while living with a bunch of hobbs.
3) The Real Estate Market
You can own EVERYTHING, and I mean everything, its awesome.
4) The Relationship System
You can get married 30 million times, have gaggles of kids, and spend more time with hookers then a sailor on shoreleave, and its all up to you, though granted it does get old after a while.
5) The Ability to Kill (pretty much) Anyone
Sure you can't kill the people who really need it *cough* Reaver, but if anyone else pisses you own, out comes the sword, off comes the head!