Yeah I do tend to notice that we're moving quite much quicker in Oblivion. And regarding fast travel, when I first heard that this would be a possibility I swore I'd never use it, as getting around in Morrowind was half the fun and 75% of the excitement. But I must admit I've been using it quite a lot.
And I also agree about the caves/ruins, come to think of it. Although I do tend to stay away from them if I can (they give me the creeps

) I have to visit them during quests of course, and I notice that they're quite similar indeed. In Morrowind there seemed to be more variety. Dwemer strongholds were fascinating with all their mechanical gadgets, and Daedric towers were fascinating with their architecture. Caves had hidden underwater areas and secret spots you could only find if you could levitate.
But all in all I love Oblivion so far. The graphics are amazing, and I've downloaded a lot of mods to improve textures. They've also made some changes to compensate for the fast-travel feature, like no levitation for example. In Morrowind I had enchanted items that gave me constant levitation and invisibility. Made it quite safe and 'boring' to explore...
Anyway, the fast travel feature isn't the reason I think the gameworld is small, it just seems smaller. You mention large areas of 'nothingness' in Oblivion, while I so far have experienced the opposite. When going somewhere I tend to bump into forts, caves, altars, shrines, Oblivion gates etc. every 50 meters it seems. I have the impression that there are far too many points of interest in Oblivion. Then again I haven't really explored the wilderness yet, only areas close to roads.
And in Morrowind I never reached an area where I could move no further, while in Oblivion I hit 'invisible walls' quite often.