Oblivion is one of the best RPGs ever made, and is right up there with classics such as Final Fantasy 7 and Paper Mario.
The game starts out with you being in the Imperial Prison for an unknown crime. Then, the Emperor of Tamriel, Uriel Septim VII. He says he needs your help for something, and as the story goes on you'll find out that there are "Oblivion gates" - Portals to the demon world - Opening up all across the land.
When the game starts, you will be given the opportunity to create your character. You can edit the face, race, class, birthsign, and so forth. This character creation system is very in-depth and customizable, and that is one of the things that makes oblivion so great. Eventually you will get out of the prison and you can start venturing on quests. All I can say is, be prepared for hundreds of hours of gameplay, because there are so many characters, quests and things to explore, and it's almost overwhelming. I've had this game for over a year and have been playing it frequently, and I think I am only about 2-3% done with the game, maybe even less.
If you're a fan of RPG's, or just fantasy games like The Legen of Zelda or Final Fantasy, get this game. That is all.