Oblivion felt immensely huge for me in the beginning. But I do think that the ability to see far away makes it feel smaller. Like Pseron would say; "a model train yard"

I do however, quite succesfully I might add, make it feel larger when I play. I accomplish this by walking and generally taking it slow, looking at trees and shrubs along the way as well as contemplating about previous adventures at places I walk past.
In other words I focus on where I am atm, not where I´m going to. Very important to make the world feel bigger.