I guess it's all down to preference... I'd never have thought before playing both games that I'd prefer the grey, post-apocalyptic drudgery of Fallout 3 over the (admittedly)gorgeous greens and blues of Oblivion, but I just think it makes for a much more tense, atmospheric game. It's all down to preference, I guess.
That said, I don't think the setting of Oblivion let me down at all. It didn't have the 'wow' factor when I first played it that Fallout 3 and Morrowind had, but it is beautiful at times.
I guess the bottom line for me is that Oblivion, both the NPCs and the general package, feel pretty souless to me, whilst Fallout 3 had many characters I really cared about.
I'll admit it though, that crazy paranoid woodelf in one of the first towns you can go to is a fantastic character.