Personally my favourite bit has gotta be combat, it just feels so real when you get your sheild up just in time and your whole screen rocks with the impact,
I also love exploring and just looking at all the awesome towns, (Been doing that mostly )
Combat is also the coolest for me. Morrowind's was totally unrealistic but with Oblivion.. You can knock people back, drop your weapon. What's also cool is the phsics engine when somebody dies, they just fly away.