I'll write down some points for a comparison between them,but these points are based on my personal opinion and taste, take notice.
***Oblivion***
+ Had better facial animations
+ While most people looked ugly,at least every single one of them looked as a different person
+ Had more mini-games. Since they where optional,it was a good thing even if you didn't liked them.
+ Had better use of colors,better palette.
+ Had better explore and public sound tracks.
+ NPCs are more memorable.
+ Had extremely good graphics when it came out.
+ Had more dialogue in actual number of lines,and more inspired.
+ Had more variety of types of quests.
+ Races felt more unique and different.
+ Classes,Birthsigns,Attributes
+ Had more hazards for the player to keep in mind (diseases,curses...)
***Skyrim***
+ Has killmoves
+ Has dual wielding
+ Has horseback fighting
+ Has werewolves
+ Has better combat sound tracks
+ Has better main theme
+ Had a stronger,more cinematic main quest.
+ Has better monster animations.
+ Ability to get married.
+ Has better aesthetic design.
+ Has more modding support.
Personally I can't say if I generally prefer one game over another. I think that there are some things Skyrim does better than Oblivion,and some things Oblivion does better than Skyrim.