For me, it's the magic. The dual wielding system is fun in Skyrim, but magic is much more fun to play with in Oblivion, with all the extra spells and spell creation. I like the guild storylines more too. Vampires are pretty fun, though for some reason you look old as one. Stealth svcks compared to Skyrim in my opinion. I find it easier to roleplay in Oblivion for some reason. Maybe it's all the race-specific greetings, or the fact that I actually have friends and enemies, and a morality system. I can actually get bandits and dremora to be my friends if I do the right things. More daedra for that matter. Also, I actually like Cyrodiil. Visually it could have been done better, but I liked the lore, the ancient elven ruins with strangler vines tightly coiled around white pillars. The contrast between the ancient Cyrodiil slave-race and the modern sophisticated Imperials they turned in to. Also, I like how altmer are actually TALL in first person haha.
Still I always end up coming back to Skyrim because it has better graphics, dual wielding, better combat a more intetesting-looking province, and it's just something new. What about you guys?