I'd have to agree with Yahtzee about Oblivion; I have yet to finish it too, because after a certain point you start to ask yourself "Why bother"? When I played Oblivion, I had decided to go through the guilds before the main quest, so by the time I got to it I was about level 15-20. This meant that all enemies were hulking monstrosities. This was fine because so was I. Unfortunately my allies were not, so the only people who survived each combat besides me were the heroes, who would be 'knocked out' about five times in each battle. Really.
It also meant that combat degraded into me flailing madly with my knife in each combat (I was an assassin), because I knew that it makes almost no difference later in the game. I also turned down the difficulty a notch, because this changed combat from a very dull and samey grind to a dull and samey blur, where I always ended up looking like a deity. The worst part is that when you're an assassin (or other sneaky class), when you sneak attack someone you do 6x damage. Unfortunately, I could do twice that number of hits in under 10 seconds. This is what really got to me. For my class, I either had to spend the game running backwards firing arrows, or change the difficulty and turn into a blur.
Also, the main quest. Being a member of the dark brotherhood was fun. Being an arena fighter was fun (if repetitive). Being a mage was fun, and being a thief was fun (being a guild fighter, less so, whatever). But going through the main quest was dull and had too many recycled elements. I gave up half way through the "Get help from the other cities" quest. Every city has an oblivion gate outside it and I got really bored. I finally gave up after I closed the wrong gate for a city. There were three equidistant oblivion gates AND I CLOSED THE WRONG ONE. After that I have never played the game again.
Ps. Yahtzee was right about immersion, too.