See the world! Explore! Meet People!
One of the things that I think makes me like Oblivion better than Morrowind, is the fact that it seems a bit easier. I've not had any problems with dying as I did in Morrowind, and in my mind that makes the game a lot more fun. I think that it took too much time to do anything in Morrowind, and am glad to see that they had changed that for Oblivion, or at least it feels that way.
There are a few things though, that aren't all that great about Oblivion, though some of them are at least a little helpful, like the quick traveling. Though a lot of people have complained about it, there was still something similiar to it in Morrowind, where you could ride that creature, I forget what it was called.
Something I miss that was in Morrwind, that isn't in Oblivion, is the ability to set your scroll wheel to change between weapons, and be able to set another key for changing spells. Sure, you can do it with hotkeys, but you only have eight of those, and that is not nearly enough, at least to me it is not. I'd like to see my hotkeys in the game, but I suppose it's best to just find what you want to use, and then switch them out as needed.
Overall- I think Oblivion is a great game, and think that it will be a classic like most of the other Elder Scroll line of games.