I think the writing for the quests is better. It's one of the strong-points for Oblivion.
Oblivion. Leveling up actually felt fleshed out. You knew where you wanted to go, and you got where you wanted to be. With Skyrim, it's like.. Yay. Here's your Perk Point. Enjoy having to spread them thin for each skill if you want to be fluid in more than 2. And most people choose 7. In Oblivion, once you put that work into a skill, you got rewarded.
And Oblivion had a better Main Quest. And Dark Brotherhood. Almost everything besides the Thieves Guild.
edit:
Leveling up & Classes*, I should say. Major and Minor skills and all that.
Good stuff that The Elder Scrolls IV: Oblivion has.
#1. Quests are better written and a little bit longer. They make sense.
#2. There is no regenerative health.
#3. Leveling feels better than in The Elder Scrolls :V Skyrim you have attributes, birthsigns, and classes which got removed in The Elder Scrolls V: Skyrim.
Good stuff in The Elder Scrolls V: Skyrim.
#1. Graphics (The Elder Scrolls IV: Oblivion's graphics looked more colorful though which I like more than the brown, gray, and white colors that The Elder Scrolls V: Skyrim has.)
#2. Combat. Somewhat.
#3. I like that you can view the stuff in your inventory in 3D in real time.
#4. At least you cannot fast travel to the cities in The Elder Scrolls V: Skyrim until you discover them unlike in The Elder Scrolls IV: Oblivion when right when you get out of the sewers you can automatically fast travel to any city you want.
I would have put down Oblivion after a very brief playthrough if not for mods. With mods like the FCOM suite (a compilation of a hundred or so mods) + LAME & Supreme Magicka, Unique Landscapes, and others, it was definitely worth playing.
Level scaling and many vanilla spells were just broken (bandits in glass/daedric, burden 5 pts for 10 seconds, etc.). The world and culture were very generic. A fair number of people think that the quests were better than in Skyrim, and I think that there's something to that, but IMO you needed a lot of mods in order to get past the poor game mechanics and enjoy what it had to offer.
Skyrim is more watered down and a little disappointing as an RPG, but is still much more enjoyable in it's vanilla state. Exploration is excellent, and the basic game mechanics work.
Oblivion bored me to tears.
Skyrim had me playing for 2 years.
Oblivion is bigger and quests seem to be a bit better....especially the Thieves Guild as you actually have to work towards joining a criminal organization instead of it blatantly being shoved in your face which makes no sense.
The drawback is the leveling system, everything looks warm and fuzzy, everyone is clean shaven and the Orcs all look like http://fastcache.gawkerassets.com/assets/images/9/2006/04/medium_1145592572_mazoga_001_-thumb.jpg (that's a woman).
Oh and worst of all imo is the damned repair hammers, thank the gods they removed that system.
There seems to be a general consensus that Oblivion has better quests, Skyrim has better exploration. Oblivion has a more focused build system and Skyrim has a more open and re-playable approach to builds.
What? WOW! I don't understand why some people hated repairing the armor, weapons, and the repair hammers in The Elder Scrolls IV: Oblivion. Armor and weapons never getting damaged or broken is unrealistic and dumb. I liked repairing my armor and weapons after battles I want to actually maintain my armor and weapons after battles it's fun to me.
More in-depth RP options in Oblivion along with better factions and quests and exploration. Skyrim looks nicer than Oblivion graphics-wise, so its a nice playground for those who like to use a lot of their imagination.
And on this single point alone, I believe it bests Skyrim.
Make no mistake, Skyrim did plenty of good, made some real strides from previous games. (Alchemy, Smithing...although that one was two steps forward, one step back)
Richard Sherman and his description of the idiot who love tom brady and new England is my answer.
edit: go, seahawks, go seahawks, go,
thank god i'm not gay and dumb