Who said the story is bad? That's not important anyway. You play Oblivion for the side quests, which are fantastic. Some things are annoying, the enemy level-up system is weird. Enemies can level up faster than you, especially if you weren't focusing on combat or you put off the main quest for too long. You can find yourself being rapidly outclassed by your enemies. Mountain lions suck.
On the other hand, the game is absolutely beautiful the world is kind of copy pasted though. Every cave, every field, and every forest looks the same. The quests are fantastic and have a nice variety to them. There are assassination quests which are awesome. Thief quests that have a very good plot to them. Fighting quests whih aren't as good, but some encounters are epic or are just plain cool. There are also Mages quests. There are also quests for demonic cults, lords and ladies of the land, and random quests you stumble upon in towns or in the wilderness. It's very fun to explore Oblivion, and the game is huge.
The worst part of the game (probably) is the voice acting and the characters that roam the world. There are only about three or four personalities spread across hundreds of people. There are maybe five voices between them, and twelve faces, maybe. The "conversations" the characters have with each other are boring, repetitive and awkwardly delivered. It's easy to ignore though and there are quite a few interesting characters anyway.
Oblivion is worth buying. You can get Oblivion and two expansion packs for twenty dollars now, and it is definitely worth it. The Shivering Isles is included with it, and it is VERY fun. Shaegoroth or whatever is one of my favorite characters ever. He's funny, and insane. The Shivering Isles is like a messed up Alice in Wonderland. BUY THE GAME NOW. It will last you until Skyrim at least.