Ok, prepared to get schooled

I kid
EDIT
This isn't nostalgia, I played TES III after TES IV
More quests
More guilds
Better plot
Longer plot
Plot actually gives useful items
Varied areas not just forest and frosty hills
Cliff racers
The use of text means there is at least 4x the dialogue
Quest Arrow doesn't hold your hand throughout the entire game
More Spells eg flying
More items and type of items
You can't get the the top of each guild with 1 class (oblivion my swordsman became the leader of the mages guild, can't happen in TES III without proper skills)
You can fight and kill gods for the lulz
There are no unkillable characters
Loot isn't random and doesn't scale to your level
The whole world is alien and not 1/2 normal animals like TES IV
Better fast travel system
Good world politics
Maybe I'll add more later
EDIT Get the GOTY version for an oblivion style journal which is essential.