I like the gameplay of oblivion better overall. The combat feels a lot more unique because it's a mixed bag of melee, archery, and the huge array of different spells that you shoot, punch, or use on yourself. Fallout basically just has guns and seldom used melee weapons. Sure there might be different weapons that splatter enemies diferent ways, but in the end the alien blaster and the handgun function the same way, and I've played at least a hundred games wherein you shoot enemies with guns in first person.
Plus, fallout has like, twice the amount of finicky "this shit broke/you have (x) health related issue/ you ran out of this" that oblivion already had way too much of, so you spend like, half the game in the inventory screen applying medical supplies, switching gear around, and fixing shit.
As far as setting and story, it really depends on what i feel like, though oblivion is a bit less realistic so I tend to lean towards that after the real world yields another boring/crappy day.
That's why I prefer oblivion, though both games are flat out amazing.