yeah fallout is complete garbage compared to oblivion. morrowwind was great, but at this point i just cant step back a generation for a game like that. it is simply too long to deal with the loading and graphics.
as far as oblivion tips i have a few.
first of all. when you make a character, keep traits that will be easy to level up as a priority. as primary ones i would use things like acrobatics or healing...things you can use and level without enemies. also hit a few of the oblivion gates early. you shouldn't really need to buy anything for a long time, as you can get whatever you need in those gates. if you are wont for money, travel as light as possible and hit a gate. you always come out of them maxed on weight with a ton of valuable shit to sell.
find a couple good merchants with big purses and do business strictly with them. don't worry about their disposition. if they have lots of money to deal with, make them your partners and eventually they will like you. big wallet is far more important that a smile at first.
remember that enemies will level up as you do. if you level up your character quickly with traits that do not help you in combat, you will quickly find it getting extremely difficult as enemies seem unbeatable. i made this mistake and for HOURS i had to find enemies and then run back to towns or other friendlies to help me kill them. it has horrible. if you level up too far before closing any of the oblivion gates, two things will happen: a) they will get hard as fuck and make you mad...and b) they will get populated with daedra instead of goblins or whatever, which, if they rush you, will tend to slow down or even freeze the game.
don't waste time lockpicking...it is completely worthless. you will both find a key that is unbreakable and will open any lock, and be able to create a spell that will easily open any lock.
as soon as you can, become a vampire. the boosts it gives you are fan-fucking-tastic, and the nerfs are trivial and can easily be worked around. plus, at the end of the game, it will add about 10 hours of playtime trying to go about a cure, if you wish to do so. most people will go through the whole game afraid to go vampire, then at the end, desperate to lengthen the game, they will do it. far better to do it early and have fun with the benifits as you play the game, imo.
be wary of leaving shit all over. if you buy properties and fill them to the brim with shit, the game will slow down considerably...especially on ps3. i played through oblivion on ps3 twice, and on 2 different machines. both times i was an idiot and i stored waaaaay too much shit. by the final battle, on both games, the processor was stretched so thin that it couldn't really run the game. it is horrible when you get to the final boss and the game slows, literally, to about 1 frame per second...which happened to me on both oblivion playthroughs AND on fallout 3. WTF, bethesda?
when the dark brotherhood hits you up...DO THEIR SHIT. it will give you fantastic items and not really impact the rest of the game.
other than that, have fun with it. my nitpicking aside, oblivion is a real masterpiece of a game. prepare to be blown away many times over.
oh and when you find that diving board on the big mountain (you will know it when you do)...take a dive off the end of it just for me :D