Here be my 2 cents.
The worlds of TES series are massive and open ended, where you can go anywhere and do pretty much anything, and in Oblivion there is nothing to stop you doing that as long as you brought enough potions and equipment with you.
And thanks fine if you are playing the TES series as a run of the mill FPS. :gun:
This was all thanks to the levelled creatre system they employed in Oblivion, a poor bit of design and no mistake for a game of this callabre. :swear:
But one of the reasons I loved Morrowind (and therefore brought Oblivion) was heading out and exploring the world, happily wandering into a dugeon and experiening an unpleasant trouser incident :ahhh: before running like hell from a Atronach or Golden Saint while only level 4 - vowing to return when I have a slight chance of actually surviving the incident.
Dont get me wrong, I'm not much of a masochist - But it gave the game a greater dimension, and made you appreciate your charater was not yet an Avatar of some angry war god, that it would take a while for you to get out there and kick donkey.
So to sum it up, I like being able to head anywhere and do anything, but I appreciate more having to admit my weedy charater has bug all chance of actaully doing everything, so I might have to admit I've bitten off more than I can chew - and come back later.
I only hope this is resolved for Skyrim, so I can employ the character of Rincewind, the Eternal Coward yet again...