The mountains in the distance sure look a whole lot better, and so does the lighting. IMO, the most different screenshot was the one of the towns, Skyrim's town looks way better than Oblivion's, and I think the lighting has a part to play in that.
Generally in the video, the lighting looks great. Especially in the fall forest.
In this screenshot though, the lighting is... not that great at all.
http://www.tesnexus.com/imageshare/images/520246-1298584608.jpg
Kinda reminds me of Oblivion's HDR there... :confused: