When you beat Skyrims main Quest you think "huh... that was surprisingly easy...".
But when I beat Oblivions main Storyline and got this Cinematic: http://www.youtube.com/watch?v=fCXQI2Q1sQg really had felt I accomplished Something, I felt like a real Hero, someone who would have been written in the History books.
But after Skyrim, I did not get such a feeling... I simply felt.. empty to be quite honest...
EDIT: not to mention, the OP for Oblivion got you much more "pumped up" then Skyrims: http://www.youtube.com/watch?v=JGhlg4JqvQw