Oblivion was super mind-blowing at the time of its release -- so ahead of its time. Playing it back in 2006 on Xbox 360 was an unforgettable gaming moment for me. Being able to go anywhere, interact with all the different NPCs and walk into these giant cities - all of which had different architecture and designs - was incredible.
I think Skyrim made some progress over Oblivion - mainly dungeon design was more streamlined and convenient to get out of compared with Oblivion, for sure. That said, I always liked the fact that in Oblivion, you can change spells on the fly without stopping the gameplay. In Skyrim, you have to pause the gameplay every time you wanna change spells which was a step back in immersion for me. Both incredible games, though, and some of Bethesda's finest titles so far.