Oblivion is a nice game, but it's not great, as Yahtzee mentions, it lacks Immersion, the feeling of getting lost in the game, in the world. It has some great points, and some abysmal ones. The voice acting is terrible, definitely, they got like 3, max 5 voice actors for ALL npcs in the game (main quests npcs excluded, at least partially). The npcs look fugly. The story is much less immersive, much less interesting than the one in Morrowind (tried playing Arena and Daggerfall but they're just way too old). Mainly it's because the story in Morrowind revolved around the main character, whereas in Oblivion he's only a handy man.
Another very dissappointing thing about the game - the open end. Great, you haven an open ended storyline, but what do you do once you finished the main storyline? The world is not interesting enough to continue playing for it's own sake. Same for the different guilds, once you're Master, High Lord, whatever, it's boring. At least in the arena you can do _something_, even if only a few fights, but at most other guilds you can't do (interesting( jack.
BUT - Oblivion had a few good points, with the Dark Brotherhood questline (and Thieves guild) it had some of the best and most interesting quests I encountered in a rpg so far. This alone gives me hope - that the folks at Bethesda CAN do it better, they just have to try harder... ^^ The stealth gameplay was great too, Oblivion was the first game where I loved to play a stealth-based character - for the side quests, couldn't do jack in the main story. Once you start encountering multiple daedras light armor+short sword etc. just don't cut it... Even if you manage to do a ranged x5 hit with bow and arrow from the shadows - one single shot and every daedra within half a mile know where you are - wtf. Same for magic imo.
That was also dissappointing, imo Oblivion plays best with a heavy meele character, other choices are nearly impossible without turning the difficulty setting down to half.