I loved Oblivion to bits and played up until the release of Skyrim, but yes, I too feel Skyrim is much better in practically every way.
I never played Arena, but Daggerfall was disappointing to me back in the day. I bought it, excited by the idea of a wide open fantasy world to explore, only to find that the world consisted only of ugly towns and dungeons. Morrowind was a lot better for me but I still couldn't really get into it... It felt cold and distant and I hated the conversation system. Felt like I was reading a Wikipedia page instead of talking to a person. Oblivion was the first Elder Scrolls game I really fell in love with. As I'm into audio drama, voice acting makes a world of difference to me, even if it's the same voices over and over again.
Skyrim fixes Oblivion's faults and adds more personality to the world, much more content, more diversity and more atmosphere. I couldn't be happier.
Lol yes, I remember the dialogue system. Saying that at least it felt like there was information there, the Oblivion system was neither here nor there and very shallow, made worse by the mini game. Skyrim dialogue is much more interesting and impressive, but still bluffs it's way to a single conclusion and outcome most of the time, but that's to be expected in an Open World game.