Well, I just got myself Oblivion the other day and so far so good...I'm struggling with the whole lock picking thing and not having a little map is hard (too used to Fable!) but I'm getting there.
I really like being able to just instantly transport to anywhere without having to discover it first...only downside is not being able to do that when there are enemies around. Plus I got really stressed in the beginning when you are following the Emperor and the Blades through the secret passage thingy and then they just legged it and I had no idea where to go...couldn't find a torch either so it took me an hour to get to the outside world...:lol:
Then my katana I got off that dead Blade was gone once I got out of the sewer...that was a pain too...still, I like the game and once I get the hang of things, I think I'll love it