Firstly I noticed in Oblivion you have a ton of real estate(areas outside of cities), but it really isn't all that populated. Creatures are really scarce in my opinion compared to fallout 3. While roaming the wilderness I encounter one or two enemies every 15 minutes or so. This makes me feel too comfortable. Also I remember walking out as far as I can in the ocean by Anvil with my waterwalking shoes and when I got very far out I took a dive. The water started from a light blue, then turned darker and darker as I descended in the depths. Now at this moment I was freaking out because I could not see anything. Eventually I hit the bottom and swam around. I never did this before so I was hoping that I would be attacked by something in the water to really get freaked out. But instead there was a lot of emptiness. Which leads me to my point, both in water and land I felt too comfortable, but it is the opposite in Fallout. In Fallout you probably encounter multiple creatures around every two minutes, sometimes there are different kinds of creatures or enemies fighting each other(which is enjoyable to watch) and the winner goes after the player. The most I seen in Oblivion was two trolls at the entrance to an Aeylied ruin, or a bandit camp, but just running around from town to town It felt too safe. When I'm picking up plants I should feel uneasy because something may be stalking me.
Another thing that I notice was the lack of purpose for multiple places. In Fallout three you would discover locations that may not be a quest but it still tells stories even if its indirect. For example, the dunwich building in Fallout 3 is not of quest but it feels like one because of the story it has to tell about this really creepy predicament. Also sometimes some locations wouldnt even be marked on the map but it still tells a story. Like this place that looked like a small town inhabited by regular ghouls that tried to kill me. I enter one of the houses and find a pile of skeletons indicating that those ghouls were cannibals and probably tried to kill me to eat me. I dont see that in Oblivion. In Oblivion I didnt feel that extra attention to detail.
In the defense of Oblivion I haven't seen everything in the game so feel free to correct me on some things I touched on. I only brought up only two points because I want other people that played Fallout 3 to add in points too. So in the end I think skyrim will incorporate and expand on those things that Fallout 3 did great with.