Well, there is a main storyline somewhere I guess, but I completely ignored it so far. I never played Morrowind, but I played Fallout 3, which I didn't really like. I'm actually surprised that I like Oblivion, since I thought it's just Fallout 3 without guns and radiation. I find it neat that it's possible to level a character by talking, crafting and trade, not only by fighting monsters and doing quests. I didn't notice that in Fallout 3. Also I didn't like Fallouts stop-go-combat, I prefer the real-time hacky-slashy-casty-approach of TES.
However, there are some issues I have with Oblivion already. First is that most people living in this world seem to be schizophrenic. They keep completely changing their mood from line to line. The speechcraft-minigame is also a bit strange and helps to fortify this assessment. I've been mainly running around Tamriel so far, make people adore me by means of rotating discs, listening to the same 4 rumors over and over. But I guess that you can't make such a big game with each NPC being perfectly simulated and individual and the development team had to cut corners. However, I'm a bit saddened that my level of interaction with most people is a rotating wheel, which is admittedly more than most RPG let you interact with the average townsfolk.
Oblivion seems to me the weakest when it comes along with scripted events. Some quest put me into a fight with 2 dudes in a tiny tomb, with no way of sneaking in. Since I'm still miserable in fighting head to head this was the worst part of the game so far. It's like the game says... "Sure, you can play however you like... BUT if you are not a heavy armored juggernaut or a mage capable of melting faces at a whim, we will stomp all over you on occasion for giggles and there's nothing you can do. Now reload and get crushed again you noob". I had to buy a set of steel armor to deal with this quest, which I found disapointing, since I could play sneaky (a.k.a. my preffered playstyle so far) without problems until that. If I would have played my run of the mill juggernaut I wouldn't have much problems there. At least the loot I got from tomb and corpses made it worthwile since I could sell everything for a good price.
I'd like to buy a house eventually to store my belongings, but so far I didn't see the possibility for that. Currently I see my character as Archeologist in the Tomb Raider sense. Lara Croft has a manor with butler to chill out between killing wildlife, mystical creatures and robbing ancient artefacts. I want that as well!