Not taking mods into account, Fallout 3. It just fixed many of Oblivion's most glaring issues (level scaling, generic dungeons and loot) and improved on other things (NPC to NPC dialogue, choices in quests) so I consider it to be a much better game overall. It brought back the incentive to explore that I missed in Oblivion.
I agree about the dialogue: it was nice that NPCs actually addressed each other by name, though I did miss the conversations about mudcrabs.

Oblivion with mods is amazing, though the point about FO3 not having such a need for them is well made.
One feature they both have in common that I could do without is the bugs, though. I fired up Oblivion last night for the first time in months (I'd moved it to another disc to free up some space: playing with the registry is such fun!) and within a few minutes some glaring errors appeared and then a crash bit me. Bummer.