What is your texture size set to?
Do you have screenshots enabled in the oblivion.ini?
Might wanna try FRAPS for screenshots. (the free version will do that trick)
I managed to get some screenshots. The settings in the ingame menu are all up full and the texture size is large.
[img]http://img696.imageshack.us/img696/1994/screenshot1bj.jpg[/img]
I'm wondering if it's a Nvidia issue as some textures are blocky in TF2 and HL2:DM.