Having said that I think the Oblivion system for fast travel is far too forgiving. If I had my way I'd do a throw back to Daggerfall and implement options like traveling cautiously, or recklessly, camping out, staying in inns, riding horse, on foot, etc. These things would affect kinds of encounters, how many encounters, etc. Not just simply, poof, you are in a new place, a very uneventful journey. That and I would restrict fast travel to places that are on your map that are either marked or have been found by exploration. And I mean marked on your map by someone saying "Here, I'll mark it on your map," If they gave you the quest and knew where you needed to go.
A can of wyrms for many, as those that are much more hard core don't want the option of fast travel. But like I said, in this case it is a matter of "if you don't like it, don't use it." If you want to travel on foot, go nuts, no one is stopping you. I've spent many long hours running on foot from one end of Cyrodil to the other. And at other times I've made good use of fast travel.
That's my 1.0069 cent to the US dollar on that topic.