Excellent question.
Oblivion and Skyrim are two completely different animals.
First, the way spell casting works is 360 Deg different in Oblivion. Spells are cast instantly and can be cast using 2H Weapons. Additionally, there is a larger spell pool to choose from.
Second, each school (Combat, Magic and Stealth) have (7) skills associated with each instead of only 6 in Skyrim. Magic has Mysticism for example.
Third, world size. Cyrodil in Oblivion is nearly twice the size of Skyrim. Truly. If you start running from the Dungeon to Chorrol, that distance is equivalent to running from Whiterun to Dawnstar. So the world map is larger and more involved. Skyrim is just mountainous, however getting to Solitude from Whiterun is alot like getting to Skingrad from the Dungeon. Huge difference.
Fourth, quests are more involved and more interesting. Part of Skyrim's problem is you go here and grab this, bring it back. Like a dog. Go get me this for some reason which doesn't make sense and then just bring it back. In Oblivion, it's far more interesting.
Fifth, Summerset Isles are both larger and much, much more interesting than that dreadful Solstheim, which is NOTHING at all like the prev Solstheim.
Sixth, Oblivion has a very recognizable class and birthsign system. Very well balanced and another problem with Skyrim. In Oblivion, your character is not "a jack of all trades". You are recognized by who you are. You can't just be one thing today and decide to drop hat and change within a lvl or two.
This teaches players to focus on their strengths and stay away from trying to Master everything, which is not feasible.
