I have longed to ask this question...after we pick up the Sigil Stone, there are a lot of fire and some kind of explosion...my question is, how actually we get out from Oblivion?

Are we magically teleported away or we run to the gate before it is closed?

It never shown in the game...

The fire and explotion do not effect us

I always wonder what if when we pick up the stone and the gate closed all together with us trapped in, there is no guarantee we will escape right? Fortunately the game take us outside with no explanation

I always assumed that we're sort of thrown out of Oblivion and back into Cyrodiil. Perhaps the Sigil Stone brings us back to Cyrodiil?

That's kind of what I assume too: the Oblivion plane kind of implodes and folds in on itself, shrinking down to nothing and leaving us standing on solid ground afterward. Or something like that.