Oblivion was a great game honestly. One thing that personally made it so much better however was that Oblivion wasn't some sort of horrid console adaptation like Skyrim was. I understand to a certain point that they wanted it to be easier navigated on consoles and user friendly that way, but the graphical interface Oblivion had was superior in every way, even cozy and fun. Luckily you can download mods that fix this in Skyrim to some extent but things easily get left behind. PC games rarely turn out to the games they could be if the devs focus more on consoles, and it goes for more than only GUI's. #pcmasterrace.
That aside, I found the visual representation of the leveling system and skills in Oblivion so much more interesting and nice looking, the side quests just felt a bit more creative to me. Even though the over all visual representation for Skyrim was great and the main story line felt "greater", you can feel differences on where the energy got put down, I just love myself some great side quests you find yourself. Don't get me wrong though, Skyrim had good ones too, but I didn't quite get the same feel.
Oblivion had it's arena, it had the fighters guild, it had it's funky little way of getting someone to like you with a mini game, it had a more brighter and warmer atmosphere, more interesting towns, and other small things here and there that just didn't exist or were way different that to me makes Oblivion the greater game out of the two, even though Skyrim is a great game too. Yus.