Here is an example of how shadows were in Oblivion.
On characters they were god awful... but at first, before they canceled them, they looked VERY good (I'm refering to the dynamic soft shadows mentioned in the video).
The shadows in Skyrim look... a bit weird... They look good! Don't misunderstand me! But I think they don't look better than the ones supposed to be in Oblivion.
Compare between the video at the top of this post and between this picture: http://www.elderscrolls.com/skyrim/media/screenshots/riverwood/ (the shadow of the house, amongst other screenshots where the shadows, in my opinion, could've looked better, or am I asking for too much?)
NOTE: The shadows ON objects look great, better than in Oblivion. I'm refering to the shadows that fall on the ground and on OTHER objects.