I guess I'm one of those rare cases that still keeps both Oblivion and Morrowind installed on my computer, along with Skyrim. In fact, I played Morrowind through for the 3rd time last summer, and Oblivion for the 4th time through during the fall right before the release of Skyrim.
Having said that, I believe that overall Oblivion does have more depth, variety and complexity than Skyrim. A few examples:
-Journal entries are FAR more detailed. It feels like a true journal written by you, and not a shopping list of "things to do."
-Spellmaking
-Alchemy allows you to use up to four different apparatuses together (mortar and pestle, alembic, calcinator, retort) to make potions.
-Five separate body armor pieces (as opposed to only 4 in Skyrim)
-Lockpicking is more tricky to understand and master (but just as annoying as Skyrim's

)
-Archery requires you to actually take into consideration ballistics when aiming
-Attributes
-More skills
-A more complex leveling system (the bonus points awarded to attributes by leveling related skills)
-Racial abilities do matter A LOT
-Classes
-Specialization
-...so character creation is far more complex and detailed
-NPCs will comment on recent events, and sometimes even gossip between them about your recent adventures
-Faction quests are longer and more involving. It really feels like you have to struggle your way up the ranks.
Of course, the same can be said of Morrowing vs. Oblivion.
Still, Skyrim introduces certain elements which add greatly to it:
-Companion NPCs
-Smithing (which actually allows you to craft items)
-Blocking is more intuitive and more under your control
-Dual-wielding
-Dual-casting
-Perks (which I personally think is a two-edged sword after all)
-Shouts
And of course, Skyrim's graphics are better (IMO), better overall combat, great sound design, beautiful music (perhaps as much as Oblivion's and Morrowind's), vastly improved character and creature animations, much better NPC racial design, better and more varied voice acting.
And I'm convinced that Bethesda got dragon fights just right (despite the occasional glitches and annoyances). Dragon animations in particular are amazing.
After playing over 200 hours of Skyrim, one thing I realized that I missed in comparison with Oblivion and Morrowind (and also Fallout 3) was a sense of wonder, mystery and discovery. This may be a result of Bethesda's attempts at creating a game that is more "Low Fantasy" (closer to our own historical reality).
Finally, I think we should all be thankful that we don't have to deal with cliff racers anymore!
