Personally, Oblivion was my first Elder Scrolls game, and I always quite enjoyed it. But I can't help but find that from a world building perspective, it is quite inferior to Morrowind and Skyrim. For example, in Morrowind and Skyrim, you can find several commercially operating mines, but in Oblivion, all the mines are 'forsakened' or 'haunted' or 'doomed. And theres the fact that the Imperial Legion doesn't have a single fort, and even forts that are right next to major towns are abandoned and filled with bandits. Its just little things like that that make it seem less like Cyrodiil is the center of a great Empire, and more like a far-flung backwater, and this is especially apparent after the last game took place in Vvardenfell, a place that was supposed to be a far-flung backwater. Its like going to colonial Africa in the 1880s, and everyone is talking about what a dangerous, uncivilized and underdeveloped place it is, only to then go to Great Britain just to find that its an even less developed, more dangerous place than Africa supposedly was.
I also believe that Oblivion's loot system is just awful. For example, at level twenty, you will just be constantly running into bandits wearing full set of Daedric armor and wielding Daedric weapons, despite the fact that previous games made it abundantly clear just how rare and difficult it was to obtain Daedric equipment, not to mention the fact that if Daedric armor is so easy to get, then why doesn't the Legion and the town guards use it? But ignoring all lore concerns, I still think that the decision to make high-level loot so easy to obtain by giving it to bandits was a terrible idea. In Skyrim and especially Morrowind, if you managed to get a piece of Daedric equipment, then you felt like you earned it, because you had to seek out and find it, or gain a high level of skill to craft it. In either case, you felt like you deserved to have it after what you had to do to get it. But in Oblivion it is just like, 'Hey, your level twenty! Have all the Daedric equipment in the world!', and I just can't see how that is superior to Skyrim and Morrowinds loot systems.
But that being said, I still think that Oblivion has some of the best side-quests in the series, not to mention that Mankar Camoran and the Mythic Dawn are my favorite Elder Scrolls villains, even if I thought they were woefully underdeveloped. But then again, I also thought that House Dagoth and Alduin were woefully underdeveloped too, so maybe I just can't be pleased