I've not really got a favourite feature, but there have been several that I've seen which I think will be rather cool to play around with. The first feature is Skywards Swords new control scheme, I think it's pretty cool that we have more control over the actual sword. Some people think it is stupid but it capitalises on the Wii's motion sensing, something I don't think Sony and Microsoft will ever being able to do.
The next feature is something I have mentioned several times in my more recent posts. It's the fact that the enemies actually have some form of intelligence now, instead of being rather dumb and presenting absolutely no form of challenge to the player, much like in Twilight Princess. I have always hated the fact that games like Twilight Princess let you go in and kill most enemies just by using Z-targeting and either pressing A or moving your hand, it's no challenge at all and gets rather easy extremely quickly. The enemies now actually have more defensive strategies than before, in Twilight Princess, I think I can name 3 or 4 enemies that had contant defense up, and two of those weren't very common and only one of which had a decent defense, not just one that can be side stepped. Skyward Sword however gives us even the most simple of enemies using a defensive strategy, even Deku Baba's and Bokoblin (or was it a Bulblin?) have a defense now, which I think it very awesome.
Finally, the fact that we can now wall jump and sprint is another feature that I like, I've always hated having to jog everywhere at a rather slow pace. This was made up for by the Link's ability to transform into Wolf Link. However, until about half way into the game that wasn't something you could just do whenever you wished to, you hate to enter the Twilight. So the fact that we can now sprint for a short amount of time is something that will aid in the travelling around Hyrule, well until we get Epona of course.
Out of those three I'd have to say the fact that even the most simple and dumb of enemies will actually protect themselves now is the thing I like the most out of those 3 mentioned features, so I guess that you could say that that was my favourite feature thus far.