I actually liked exploring in Fallout 3 more than unmodded Oblivion, I think, and the reason is because it had more interesting locations to explore, it felt like Bethesda put more thought into each location ...snip...
Exactly. That's the main difference between Morrowind/Fallout 3 and Oblivion (and maybe Daggerfall).
In Morrowind and Fallout 3, almost everything feels "hand placed". There are unique areas to explore, and you WANT to explore them, because the loot is usually worth it.
In Oblivion almost all the dungeons are cut-and-pasted copies of one another, and they each had a pattern that they followed (bandit, creature, mythical creature, necromancers, etc.) and you knew exactly what to expect based on the first enemy you saw. One dungeon never felt any different from another, and it didn't matter which one you went to because the loot was levelled to your character anyway. It made absolutely no sense, and I can't stand to play the game without heavy overhaul mods.
I'm excited that Skyrim is supposedly more like Fallout 3 and Morrowind in this sense. Since there are 10 level designers instead of the 1 they had for Oblivion, we will hopefully see more hand-placed areas and rewards.