Bethesda has gotten better in some things when it comes to immersion, but not in others. Things in Oblivion that ruined my immersion were:
-Exotic materials (ebony, glass) appearing in great quantities on common bandits and marauders. According to lore, the lava found at Red Mountain is exceptionally thin, and under the right conditions, it can form relatively large deposits of green, glowing volcanic glass. Therefore, glass can only be found at Red Mountain. Ebony is also rare, but can be found at other sites (like Solstheim for example). Looking at how few sets of glass armor we saw in Vvardenfell (the source of all glass mining), it's surprising to see nearly every bandit in Cyrodiil wearing that stuff.
What FO3 did: Obviously, we see less "uber armor" in Fallout 3. I can't honestly say I've ever seen a raider in power armor. Perhaps a few too many BOS members had it, though. I kind of like how armor was handled in FO:NV, however.
-Childish jokes. Why do Khajiits lick their butts? Lady RogBUTT? I see a pattern here! You can make jokes that don't use real world profanity, but also cater to a more mature audience.
What FO3 did: Better. I actually laughed at the humor in Fallout 3. I liked the return of dark humor, the sarcasm, the Moira, etc. Let's just hope that real world profanity does not actually make it into the game, unless they're OLD words (bastard for example) that feel like they fit in. Also note that I liked the humor in Shivering Isles... though I can't say for certain that it would always be appropriate for Skyrim, but it was perfect for Sheggy :-3
-No political conflicts: So... where did Nibenay and Colovia end again?
What FO3 did: Well, at least there were more in the way of competing factions (Talon Company vs. Super Mutants vs. BOS). Sadly, many of them were borderline "stupid evil," like how Talon Company would just shoot anyone on site. How do they know I don't wish to join? Or perhaps I want to hire them? It would be fun to learn more about TC, too. The super mutants also lacked any ideology at all, unlike the Fallout 1 or FO:NV super mutants.
-Stupid Evil: Let's worship Sithis! Okay, so it's really more of a concept than a god, and by our beliefs he will give us nothing but pain and suffering. The people we murder will supposedly face an eternity of pain and suffering too. Even though we get paid well, we're expected to live in a damp hole in the ground with a bunch of weirdos who talk funny. Wait... why did I join the Dark Brotherhood again? Oh, that's right, I'm supposed to be eeeeeevil! You'd also think that there would be a happy medium between people who think ALL necromancy is evil, and those who wish to worship the dark Mannimarco, he who became a god through the use of the First Numidium in Daggerfall, eh? How about those who wish to study necromancy for scholarly purposes? Take for example, that orc in the Balmora GoM in Morrowind.
What FO3 did: Ugh... the whole "good" vs. "evil" things lives on here, too. Most of the evil decisions were pretty stupid evil in FO3, too (Let's blow up the BOS citadel! Why? Because I'm eeeeevil!). At least FO:NV was more grey. Heck, it was hard, if not impossible to even be pure good in FO:NV
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I have more complaints (lack of variety in armor/weapons, no medium armor, etc), but those don't exactly break my immersion too badly. Those can be easily fixed with mods, too.