When running Oblivion GOTY it shuts down my Pc and reboots. No BSOD, no error message, no minidump written, no clue.
PSU is more than enough, all drivers updated and Oblivion is patched. My GFX card is GTS 250.
I also have the "automatic restart" disabled in the Windows System options.

When I had a 8600 this did not happen with Oblivion. By the way, this problem only happens with this game and I run a lot more and more demanding ones.
Thanks

PS: Fallout 3 does not crash and reboot the computer.

This should be moved to the oblivion Hardware and Software issues section.

This sounds like it could be over heating, but you should post a dxdiag.