Oblivion's MQ is, imho, better than Skyrim's. (Morrowind's of course is generally considered the best, before someone else says it.) As far as other quests go it's really a toss-up, both have winners and losers. Skyrim's combat is more fun, and I like its ruin and cave design much more since there's more opportunity to throw something off a high place, always a plus in my book. However Oblivion can be modded to get that too, so it's a wash.
If anyone hasn't tried it, I highly recommend a total conversion of Oblivion called Nehrim. It makes a whole new game and story out of it and is a lot of fun (once it picks up, anyway, it starts slow).