The biggest tpic that people bring up when discussing Oblivion and Skyrim is the RPG elements. However, this is in many ways a bit of a misnomer, because it makes the inherent assumption that because the lack of RPG elements in Skyrim is a bad thing, therefore the presence of them in Oblivion is a good thing.
We can look at Morrowind. In the game, there is a world already there. Leveled lists exist for minor items like scrolls and soul gems, so you can still find decent treasures even once you reach a high level, and enemies do become more dangerous. However, the method is different. Let's take wolves - in Oblivion, the difference between "Wolf Spawn" is a Wolf or Timber Wolf. One is slightly tougher. In Morrowind (Bloodmoon) you'll see Wolves or Plague Wolves. The latter is only a bit tougher, but also has diseases. The same goes for wild mobs on the mainland. Enemies don't become more dangerous because they're significantly tougher - they simply spawn in somewhat higher intervals and with diseases, or blight diseases, that can strongly impede you for when you go against actually dangerous enemies. The main quest makes you immune to those effects, and thus becomes a tangible reward.
The game itself has first-person action elements, mixed with RPG elements. You get different weapon attacks, and need to use different movement based on the type. Depending on how long you hold the button, your damage differs - from minimum to maximum. Things like blocking are handled automatically, as part of your character's skills. Picking locks is based on your skill. Haggling for prices falls under your skills. You have a lot of freedom to customize. And so on it goes.
Oblivion keeps a lot of these elements, but fucks them over. Leveled lists are screwed up. The RPG elements are neutered by the movement to more "action" style - except those get fucked by the fact your skills are scaled alongside everything in the game. It takes as long at Level 30 to kill a monster at Level 10. The main quest, and other story aspects, give you no real rewards because of level scaling.
Skyrim has even less RPG elements, which is stupid - but while Oblivion has them, it has them done horribly, to the point of near insignificance. It still has its retarded leveled lists, but at least the only thing in the game with a hit point sponge is dragons. Granted, the game is almost nothing but caves and dragons, but at least the caves don't have 5000hp Goblin Warchiefs.
More than anything else, though, Oblivion is the absolute worst fucking TES game in terms of just absolutely fucking the lore. Cyrodiil, Oblivion, the Imperial City - it's all fucked. Forever. Even ESO has done less to just absolutely shit on everything that was great about the earlier portions of the series. Skyrim fucked a lot of stuff, but at least the shit it added wasn't fucking awful. Whatever else you can say, the portrayal of Skyrim - while underwhelming compared to lore - was at least consistent with the series. Meanwhile, Oblivion is completely inconsistent, and completely fucked everything that was great about its own setting. It's a trainwreck directly responsible for how shit the series has become.
Both games are fucking terrible. Skyrim has gameplay which is slightly insufferable, but the actual content makes it fucking shit. You can use quest mods and a few mods for perks and spells and shit to at least have a little fun. Oblivion you can "fix" its problems with mods, but the only way you can really redeem it is a complete overhaul where you've replaced everything except the engine. And even then, it would still be shittier than just using Morrowind, which does everything a "fixed" Oblivion does, but better.