I think it would be cool in Oblivion if they had a splinter cell style walk run thing. eg. you could scroll the mouse to go faster but it would use up more stamina.
In Splinter Cell, you walk very slowly - then to walk faster you scroll up a bit, to run you scroll up even more and reverse to slow down. Basically this allows you to have more than two moving speeds (walk and run), it's an adaptation of a PS2's analogue stick which Splinter Cell was originally designed to move with different speeds depending on how far you push the stick. Fairly useless really, I would think, outside of Splinter Cell where you often need to change speed dynamically to make sure you're not heard or seen. Oblivion's sneaking probably won't be sofisticated enough to need it and otherwise holding down shift would be much easier.
I would allow you to get a speed which you liked. eg in morrowind at speed 50 walking is too slow for me but running too fast. I like to go about medium speed so that I can look at everything but still actually go somewhere.
I like the idea of different speeds, especially if you could go up to sprint speed (using up masses of fatigue). Being able to jog along at a medium pace would be nice, as would being able to go at a brisk walk, instead of morrowinds uber-slow walk.
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I played Splinter Cell and I know the walk/run system you're talking about. It would work in oblivion. In morrowind you didn't have an actual sprint, just Stealth/Walk/Run. If they would implant such an option like this, which I doubt, it would finally enable those with high atletics not just to run faster but possibly also to make a nice sprint when they need or want too.