Just started playing this again a couple of days ago, it was an "ok" game my first play through a few years ago..never beat main story line with all the guilds (i just got bored of it). This time im having a lot more fun.
Fallout is waaaayyyyyyy better imo.
Fallout is great too, but I enjoy the Medieval/Fantasy setting more than the Nuclear Holocaust.
While the Capitol Wasteland looks great and gives an awesome and strange feeling of serenity, peacefulness and loneliness, I like Tamriel more because of the colorful nature, woods, forts and ruins.
Also the fact that you can choose more races than just humans is a nice addition.
Another fun tip for Oblivion, if you want an amazing view (one of my favorites at least), go to the little village Aleswell which is located North of the Imperial City where a small path (shown on the map) leads south.
If you go there on a clear, sunny day, it will give you an awesome view of the Imperial City