ITS ONE OF THE MUST HAVES THIS YEAR!!!
Oblivion's major strength is something that should be a total weakness: it's almost completely aimless. Oh, sure: there's a story, for sure. It's about saving the world from invading demons, which keep popping in from another dimension through flaming portals strewn about the countryside. But you don't actually have to follow it unless you want to.
In the meantime, you can go do your own thing: work your way up through the Fighters', Mages', Thieves', or Assassins' Guilds if you like. That last one has many of the game's greatest quests, by the way, filled with dark motives, surprising twists and at least one brilliant, conversation-based puzzle.