Just a little observation I did a few days ago when I encountered Storm Atronachs for the first time:
WOW!
Seriously I think they are extremely well done, and I think the moment I saw the first one explode was the first time I actually said 'wow' out loud to myself when playing, except for when I stepped out of the jail tunnels and saw the scenery for the first time.
Generally I think that the different creatures etc. are very well done in Oblivion.
Another thing I'm amazed about is the sound, and especially the sound effects of the creatures. I get chills down my spine when I hear some of them...