While I have said this before I think it's worth repeating.
PLEASE, real time shadows. And no, don't screw around with soft shadows, make it HARD shadows at least. Thief 3 has hard shadows and they look better than many of the soft shadow methods I see nowadays because they at least have smooth edges and don't look pixelated unlike many newer ones.
Hard shadows swallow a FRACTION of the processing power soft shadows require and still enhance the atmosphere enormously.
You shouldn't compare Thief and Oblivion. Thief is on unreal engine. The shadows are all baked. TES is always dynamic. A solution like this:
For interior engine:
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0201-47-25-65.jpg
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0204-24-38-00.jpg
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0204-10-18-35.jpg
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0202-59-22-77.jpg
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0201-51-42-22.jpg
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0201-44-42-49.jpg
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0201-18-37-45.jpg
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0110-29-14-14.jpg
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0110-23-08-05.jpg
http://i51.photobucket.com/albums/f386/vtastek/Metro2033/sc01/Metro20332010-08-0110-22-40-23.jpg
For exterior:
http://i51.photobucket.com/albums/f386/vtastek/crysis/sc01/00005.jpg
http://i51.photobucket.com/albums/f386/vtastek/crysis/sc01/00004.jpg
http://i51.photobucket.com/albums/f386/vtastek/crysis/sc01/00002.jpg
Note the similarity between Metro 2033 interior shots and Oblivion's interior engine. They look similar for a reason as both use dynamic lighting.
For Crysis shots, Morrowind is like half-way Crysis. With MGE, we have been closer to it then Oblivion.
We deal with simple ini settings like
Sky Day Color=028,90,137
Fog Sunset Color=102,102,166
Fog Night Color=015,049,069
Ambient Sunset Color=055,061,077
when Crysis has this:
http://i51.photobucket.com/albums/f386/vtastek/morrowind/morrowindmisc/crysistodeditor2.png
The detail shows:
http://i51.photobucket.com/albums/f386/vtastek/crysis/sc01/00005.jpg
http://www.gamesradar.com/pc/crysis/screenshots/g-2006032914441159019