All this talk about how Oblivion is generic fantasy is silly too. What's the major difference in morrowind? Same races, same lore. The immersive setting of morrowind is entirely made by fog and silt strider mating calls.
Vvardenfell is an active volcano, being fought over (mostly politically) by an occupying force, 3 noble houses, a quadrumvirate of gods as well as the native islanders. None of said groups is truly good, and only one is truly evil. Each group has its own approach to architecture, from the stone bricks of the empire to the crab shells of the redorans.
Cyrodiil is verdant grasslands and forests, with a unified medieval european style to everything that you've seen 100 times before but with all the detail sanded off. It's about the good guys (army, emperor, police) fighting demonic invaders. There are no real problems besides the one you solve in the main quest.
Morrowwind's main story has many open questions: What happened to the dwemer? Was Nerevar betrayed, and if so, by who? Is the Nerevarine prophecy even real or just Azura taking credit? Does morrowwind deserve independence from the imperial yoke? Do the ashlanders deserve to be restored to primary rulers of the island?
Oblivions is about good prophecy orphan man fight invading devil. There's iirc only one question (is mundus just another realm of oblivion?), but it's basically invented and discarded in the same paragraph.
They are part of the same series and have the same lore, but mw puts all the interesting parts front and center, whereas oblivion tries to hide it as much as possible so it can have a simple generic story and setting.
The levelling and magic systems are nearly the same in both
Leveling is basically the same, for magic they removed spell failure and a lot of the most interesting spell effects (levitation, mark, recall, never 4get).
The level scaling in oblivion ruins the leveling system though, and the strongest you can be is as a level 1 character who picked major skills they will never use.
The immersive setting of morrowind is entirely made by fog and silt strider mating calls.
Every type of dungeon in mw has a reason for being there (except the naturally formed ones, like caves). Example:
MW's primary inhabitans, the dunmer, have gone through several religions. They started with ancestor worship, moved on to daedra worship, and then the Tribunal appeared. The island is full of mostly abandoned religious structures of the first two, but the current religion also has a lot of influences from the previous ones (tribunal temples are full of saints which people leave offerings to, which is basically ancestor worship, and the tribunal also keeps contect with various daedra).
Oblivion has 300 abandoned imperial forts, with no reason ever being given for why they were needed or abandoned.
I am very saddened that the codex has come to the point where mw>oblivion is a statement that needs to be justified, and is not considered self evident.