If you're interested in my personal opinion than keep reading...
Do not play the main story line in Oblivion unless you want to have a bad time... it is very boring and pointless, and personally, takes away from what the game could be. Instead, focus on exploring, doing side quests (which are 10x as detailed and fun as Skyrim's), and most importantly, guild quest lines, as these are some of the most fun quest lines you will play in gaming.
As for Oblivion compared to Skyrim... read http://www.uesp.net/wiki/Differences_Between_Morrowind,_Oblivion,_and_Skyrim. Having said all that in the article... I think that Oblivion > every TES game. Now like I said that's a personal opinion and im not looking for a flame war on this thread...
Oblivion to me is more immersive, unique, and entertaining, but honestly, give it a go and tell me (us) what you think of it... because I have friends who can't stand Oblivion and I don't quite understand why... So it's all up to you really...
Anyways, please, enjoy the game. It's so nice to see more and more people purchasing Oblivion even when it's so old
Edit: going back and reading the posts in this thread, I think that Savlian summed up some other points of why not to do the main quest line:
In any case, I recommend you defer the main quest in Oblivion because (1) delaying gives you a chance to experience Cyrodiil before the Oblivion Crisis, (2) you get better rewards at higher levels, (3) it's more realistic for an experienced Player Character to help save the world vs a level 1 from the sewers.