I've played a lot of RPGs and and PnP games. Oblivion, other than it's bugs, is one of the best RPGs on the market. Why? Because it really is a FREE environment. It's not like so many RPGs which is just follow a plot with stats. And if you run into something you can't beat, just go around and kill random creeps until you can!
Since Oblivion is scaled you can just go and do things.