Clarification: when I mention gameplay I'm referring to aspects that make the game fun to actually play. I'm not referring to story&characters or graphics&sound, I'm talking about exploration, combat, crafting etc.
IMO the whole thing evolved. OB had it's issues but when FO3 was released it fixed many of OB's flaws. Exploration felt better than OB and this was surprising for me given that most of Fo3's dungeons are ruins and caves while Ob had Alyed ruins, mines, caves, forts, Oblivion gates etc. I think they didn't take advantage of that in OB, saw their error and rectified in FO3. Quests were more interesting. I won't compare leveling and combat systems since they're quite different IMO although I will say I enjoyed the vanilla combat of FO3 more than the vanilla combat of OB.
And now with the release of NV, although developed by Obsidian for the most part, I think progress was made yet again. There were more items to choose from and they felt different. Skill use was better although I would have preferred if they used the speech-related perks a bit more. The only drawbacks for me were that I felt it lacked some polish and the gameworld felt less rewarding in terms of loot when exploring.
One thing that I did miss from TES was that most NPCs had a name. It added to the uniqueness of the characters IMO.
So gameplay-wise I'd say I'd prefer NV first, then FO3 and then OB. And I hope the same gameplay progress is maintained for TES V.
Exploration: fallout 3 gave you more reason to explore as you needed to explore the subway system to find new location downtown, fewer tile set but more creative use and bandit camps looked more lived in than most in Oblivion, enemies and traps was also made more tactical sense. Outdoor forts and defences in dungeons was nice, probably easier in fallout as most used ranged weapons but archers and spell casters do this in Oblivion, might be an idea to hold back melee fighters to defend the ranged units.
Crafting, Fallout 3 you could make around 8 custom weapons, Oblivion you could make potions, spells and enchant weapon and armor, As I understand NW has an expanded crafting system who is more like oblivion alchemy, you can make lots of more items from things you find, you can also upgrade weapons, however unlike alchemy and enchanting the items you make require specified ingredients.
Combat is hard to say, Fallout 3 was faster, much faster, used VAT a lot but didn’t miss it then going back to Oblivion. Fast enemies are a good thing and also a way to boost difficulty lions and hungers are a problem for archers in Oblivion.
Main downside in Fallout 3 is that it’s to easy, yes broken steel solved it but took level scaling to a new and interesting level, real nice then you did the end of the main quest levelled up two times and the radscorpions was replaced with albinos. Better to run into a squad of enclave hellfire troops and have a pack of albinos attack you from behind.