Well. The first thing we need to understand here, is that Oblivion and Skyrim were made by different teams. ie, same people who worked on Oblivion, didn't necessarily dev Skyrim. So, while the lore may be the common denominator here, the game play is far from it.
For example, in Oblivion I could wield a 2H weapon AND cast spells. Could also block with a bow.
I remember that fight with Frathon Drathon. He had his 2H sword and it was interesting because I never knew when he was going to cast lightning at me, but when he did it was AWESOME!
You just don't get enemies like that in Skyrim. It's like everything is too uniform or something. Like in Oblivion, you don't just go walking into a Mage battle. Because those Mages can hit you with *anything* lightning, fire bombs, silence, burden, health drain... there were some very diverse spells for Mages of all kinds.
Furthermore, the map was larger. So like, your trip from Whiterun to Dawnstar is about the same distance from that sewer gate in Oblivion to Chorrol. Think about that. And taking the road to Solitude is fast and easy, although admittedly getting to Winterhold or Markarth is rough but even then, those cities really aren't that far away.
The map should have been larger and the geography should have been scaled better. Throat of the World seems like a tall mtn but it's really not. Not really.
Another thing, the enemies are all the same, should have been more diversity. Like Imps, anyone remember Imps? Or the Daedra or that creepy mage guy who from time to time shows up out of the thin air and tries to kill you... or the diversity in the undead, the ghosts and zombies, liches and wraiths, OMG anyone remember that ship full of wraiths near Bravil?
It's just you know... stuff like that. Another thing I HATED was the height ratio. It's all messed up. Why do Imperials and Bretons look like mid... ermm "little people"? It's all wrong. And they should have brought back of the weapon sets from Oblivion, such as that wonderful Silver set.
Ahhh. I've gone on for too long and I could keep going with this, but these are just a few of my complaints.
Btw - Shivering Isles was 1000x better than the pl*psty little island called Solstheim, which is a mere shadow of the real Solstheim from Morrowind I think? I remember reading about it and they're not the same. Not to mention how the DLCs, d/l content and Quests were immersive and interesting and beautiful compared to what we were served in Skyrim. I mean, I guess they're beautiful in the own way but not the same. Nothing in Skyrim beats Shivering Isles and The Quest for Merune's Dagger.