I love the magic system on Oblivion. And the sneaking bit. But I can't just sit down and play for hours like I used to with Morrowind. In Morrowind there was a sense of achievement when I raided Daedric shrines and when I took all the Dwemer stuff from a Dwemer ruin (I used to collect as much of that as I could but I haven't a clue why).
And in Morrowind you'd sometimes have to spend hours wandering around completing a quest, often running into so many other things in the process. It's easier to complete quests on Oblivion but you don't really ever have to search and interact with things to find your objective because it's always marked on the map with that big arrow.
The best bit about Oblivion though is no Cliff Racers. That was Morrowind's major downside... wandering along through the ashlands and you hear that horrible screech and you turn round to see about 20 Cliff Racers that followed you all the way from Balmora.
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"If you make something idiot proof someone will invent a better idiot."