Skyrim has a much deeper and flavorful game world that feels more than just a day at the Renaissance Fair. The World is unique and gives of an outlandish feel. Oblivion had a generally flat world, with bland NPCs and copy paste environment.
Oblivion had a much more personable character you played as. The skills were unique and the birth-signs and racials helped develop your character further. It had more possible uniqueness to a single person. Skyrim had your character feeling much more grounded in reality and not as personable as an Oblivion character. Nothing really set your character apart besides "Dragon Shouts"
So, in my eyes, Skyrim really nailed the way the world is. And Oblivion (And Morrowind) really nailed how an individual should feel in a fantasy world. Hopefully in the Next TES they can get the best of both.