When leveling up in Skyrim you have to choose between increasing your Magicka, Health or Stamina in addition to gaining a perk point. What effects does your choice have? Are there any effects apart from simply having more Magicka, Health or Stamina available?
Almost nothing. That choice basically is the new replacement for the old attributes in the previous games.
The developers said that the old attributes were basically just a fancy way to raise or lower Health, Magicka or Stamina (besides also influencing skills, obviously), so they went for this "choose between the three" plus "perks" system.
The only thing that changes is the amount you can carry. As Arkvive pointed out, choosing stamina will increase your maximum carry capacity by 5.