OK so I've been playing skyrim for about 300 hours now and decided to try oblivion again.
When I first tried Skyrim I felt it was kinda shallow compared to oblivion, many quests are kinda boring and tbh the guilds arnt that fun. The only one I really liked the dark brotherhood. though, as you said, the ending was kinda lame since no one seems to notice that the emperor is dead lol. (check out skyrim factions enhanced: the companions if you're on pc, makes the companions really fun too actually)
I just RP alot when I play Skyrim. I make a character and then explore, do small quests here and there, (the side quests in skyrim are alot better than the faction ones imo) And make my own story. I feel the story in skyrims main quests and factions were kinda rushed and not as well made as oblivions.
Anyway compared to skyrim, I feel the writing and characters are way better in oblivion. they have more to say and even the smaller ones have atleast a few topics. Also the faction quests are longer and build more story. They're not masterpieces but I like them and I think bethesda did very good with most of them.
Now for the exploring, hmmm. Can't say I like exploring that much in Oblivion The world is covered in forest and thats it basically, forest forest forest. And the dungeons are pretty lame I must say.
Exploring in Skyrim however is alot better. The landscape is much more varied, the dungeons are also more varied though the draugr ruins can get repetitive sometimes.
So anyway
Oblivion: Better characters, faction quests and "feeling" (dunno how to put it better)
Skyrim: Better world, dungeons, exploring and gameplay. (I have modded combat and magic etc in both games but as for vanilla combat: Skyrim > Oblivion)
Finally I'd like to thank Bethesda for their AWESOME games over the years. There's really nothing like TES, well done Beth!