You get the Skeleton key at Nocturnal's Shrine after you do the Daedric Quest for Nocturnal. To get the marker for it ask someone in the Leyawin Mage's Guild they'll add the map marker for it.
I've already pre-ordered Oblivion and Rainbow Six Vegas, and I think I will rent F.E.A.R., I have Oblivion for computer but it runs very crapily (but I still played it for a long while :D).
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