It's not that doesn't have lore; it didn't have as much as Morrowind. And that is most jarring part of Oblivion to me, as it seemed unthinkable that Bethesda would even come up short in that aspect, after Morrowind.
It's the various enemy factions, I feel, that are most glaring: There's very little backstory on the Mythic Dawn and the Necromancers' Cult. The Sixth House in Morrowind were far more fleshed out in terms of history. As a result, the Mythic Dawn/Necromancers seemed like a generic evil cult that are just put there as designated villains with clich?d cult members.