Skyrim in 3D is great, but can get a little tiring on the eyes for long sessions. Skyrim is definitely better technically, but given the time elapsed since Oblivion was released, so it should be.
There's one thing about Skyrim vs Oblivion that I just can't quite put my finger on. Oblivion has this real epic feel to it, as though you're actually taking part in a monumental event in history. It lives with you like a great book, stirs the soul and fires the imagination in a way that games very rarely do. How many games have achieved this feat? For me, only Deus Ex (the first), Mass Effect 2 and to some extent, Far Cry.
Skyrim just doesn't quite do that for me. As another poster said, the storyline just doesn't seem to suck you in as much and does have a bit of a meh aspect to it. What I don't know is if this is my subjective impression or whether it actually is so. Ie if I'd played Skyrim without playing Oblivion, would it have had the same impact - is it just as good but just feels a little stale because I've already played Oblivion?
There was something about Oblivion - for example the way the music stirs just as the landscape opens out to a glorious vista, that really gets you on the emotional level. It's a beautifully done piece of work. By comparison, Skyrim leaves the impression that the producers were a little bored at times. Perhaps they didn't quite ever move beyond the point of just making a great game, to making it the masterpiece of an epic adventure that Oblivion was.
In Oblivion, many of the side quests were almost epics in themselves, while in Skyrim some are plain tedious. Get object x, give it to person y and collect reward z. No point and no interest other than just ticking it off the list.
A couple of things I like about Skyrim. I really hated the ultra creepy bits of Oblivion that were designed to terrify, like the gates of Oblivion and some of the caves. They went a notch too far in this respect imho. Skyrim is better in that regard.
And then a couple of niggling things that are quite annoying in Skyrim. For example, you can increase your level really quickly by practising smithing, but alchemy is terribly slow, as is speechcraft. Seems a bit imbalanced.
Also, while I'm a 100 destruction character, I still find destruction far less effective than one handed, where I am about 90. Again, it seems quite unbalanced. Overall, I'm a level 58 character and still find some fights challenging (that's good and keeps the level of interest up), but in the end, the approach that usually works best is just to hack and slash em. That's bad. It would be better if it rewarded you a bit more for planning and thinking through your approach to a tough battle.
The dragons are really cool. More so when you're high enough a level to defeat the stronger ones without help. Before that, they're just annoying. Shouts are cool too but many of them seem quite pointless. And then the assassins. There's little more rewarding than looting the body of an assassin you've just dispatched to find a note with instructions to kill you, personalised with your name.
But dear oh dear those glitches. Thank goodness I have the PC version where I can use console commands to move a quest along when you find a contradiction in the logic of interlocking quests that prevents you progressing.