Yea, thats a huge question with many different aspects to think about, OP! Its like asking the difference between United States and Canada.
oh....
SPOILERS BELOW, btw.
From the top of my head...Things Oblivion has that Skyrim does not...and keep in mind these are just a few things...nowhere near to being a complete list. And keep in mind Im talking of the vanilla (unmodded) game.
You can mismatch curias and greaves in Oblivion; doesnt matter if theyre light and/or heavy armor. In Skyrim, these are one piece.
Skyrim has a very slow health auto-regeneration for all player characters AFAIK. Oblivion, I think its only a certain Starsign (forget which one) that auto-regens.
Oblivion has a more detailed facial/appearance system (when youre shaping and tweaking your characters face). There is more of a variety here.
Skyrim has beards for men, Oblivion has only 5 o clock shadows at best.
Oblivion is overall a much more hand-holdy game that tells you in greater detail what youre supposed to be doing next during quests. Im noticing Skyrim still does this, but isnt quite as in-your-face about it.
Oblivions countryside has more variety. Its more colorful. A lot of green, dedicious trees, vibrant meadows. Skyrim, in comparison, is more like a tundra environment. Lots more grays. The sun doesnt shine very often. When the sun
does shine in Skyrim, though, it can be
almost as vibrant as Cyrodiil.
..But Skyrim has Northern Lights at night sometimes!
Skyrim also has more non-threatening wildlife to appreciate and possibly hunt. Cyrodiil only has deer and some domestic animals like sheep.
As Savilian says, weapons and armor degrade in Oblivion, and youll have to keep them up by repairing them. Skyrim got rid of this (dangit) but Skyrim also added weapon, armor & jewelry crafting.
This is a biggie for some folks: Oblivion has spellmaking, Skyrim does not.
Oblivions leveling system is broken, a lot of folks say, because lots of things (creatures, NPCs, loot...etc.) level
with the gamer. Skyrims leveling system is broken a lot of folks say, because we cant control it like we could Oblivion
Skyrim has a much greater draw distance than Oblivion. You can see enemies and friends and forts (etc.) from a greater distance, basically.
Skyrim has a grittier feel to it. Just an overall feeling that isnt as nice and pleasant as most of Cyrodiil. Both have spectacular scenery, though.
Oblivions dungeon areas tend to be more generic; (not my words, these are the words of others) because these dungeons tend to use a lot of cut n pastes. But the more Im dungeon diving in Skyrim, the more Im noticing Skyrim also has some cut and paste action...its just not as noticeable.
Oblivion has Oblivion gates during its Main Quest.
Skyrim has dragons.
Oblivions NPCs are mostly simpleminded twerps who repeat the same stuff over and over during their random conversations. Skyrims NPCs are mostly simpleminded twerps who
eventually repeat the same stuff over and over during random conversations, but at least Sky does a better job overall in this regard. A lot of the things Skyrims NPCs talk about arguably have more depth (my opinion) and you actually have to
pay attention to what Skys NPCs say, because sometimes the most random side-talk can lead to quests.
Oblivion and Skyrim have different lockpicking systems. Oblivion is more like a mini-game, Skyrim is more intuitive. Kinda hard to explain. Its more like picking a real lock in Skyrim.
....ahh. thats all for now. As Savilian says, is there anything in particular youd like to know about?