Take a look at the snow in the gameplay, it's in the actual world space, you can see it actually has depth like real life. If you look at an Oblivion, you will see it in the viewspace (which is what everyone does) where it is locked to your view, so no matter where you turned it will always follow your screen. Also, rain is the same way in Oblivion, thus is why it comes through the roof. It would be sweet if rain is in the gamespace as well.
Edit: Ninja'd by Worm. :swear: