The status bars for health and so on, the lettering, the position of the compass. It all fits the milieu, and it all works. All the information you need is there at a glance, and it doesn't interfere with the pretty pictures, to the point where I hadn't really even given it a thought until I saw the new version.
Don't get me wrong, there are bound to be games with better, but does anyone else think whoever designed Oblivion's HUD is an unsung hero? This stuff is vital to a game, and it seems it only gets any attention if you think it's been done badly.