Other than obvious reasons that skyrim is better (graphics, voices, etc) I honestly have a ton more fun playing oblivion I feel like all the quests in skyrim except a few just tell you to go run all over skyrim whereas in oblvion there is a great story line but also there are some small quests like getting scales from the fish in a lake. I have to say i loved the quest where you go into the party and sneak into the house (from the main quest)
