I can see that Oblivion may have let go fo some of the finer points of the RPG that Morrowind was. However I often found Morrowind so bland at times, there didn't seem to be any real life in the world. However it's story was top nosh.
However there is something about playing Oblivion, like Edy said, it is creepy, especially when you run into some friekish things during the night, real and Oblivion. I hope in the next installment that they re-introduce a very good storyline.
However I do have one major problem with these games. It's the frieken dungeons! Gah, I find them so annoying! like what the heck are they for? Gah!
I also really miss the Imperial legion quests...