Oblivion's leveling system is completely and utterly awful without mods and it should be your top priority to get one that changes it.
I recommend OblivionXP or nGCD. The former makes it an experience point-based system and the latter increases stats and level based on skills automatically, so you never fall behind nor become completely godlike (well, without abusing magic or similar).
I went with OblivionXP, I always thought nGCD was too intensive and "bloated" (just my thought) and OblivionXP seemed a lot simpler and a bit more basic. Kinda like iNeed compared to Real Hunger and Disease mod for Skyrim...(iNeed being a lot less intensive and basic, resulting in better performance and stability).
I missed being able to turn off quest markers and having a real quest log. In Skyrim you can turn off quest markers, but why? It doesn't tell you anything like it did in Morrowind and Oblivion so you can't actually find where to go because the quest log is more of a call of duty follow a "linear" path to each quest with no exploring...except instead of a linear hallway, its just follow an open pathway to the quest marker. You actually can't turn off the markers and find where to go unlike Morrowind and Oblivion.
And...before I added any mods I spent an hour and a half in the game. And...unlike Skyrim (even with mods)...the AI feels a lot more immersive. I can wait for 6 hours and npcs still do their thing and "teleport around"with a real schedule. But not even that, the AI just seems a lot better like you'd find in Ultima 7. Skyrim, if you wait for 6 hours, the AI is still standing in the same exact place on your screen. If you sleep the AI does its thing, but not if you wait. Which is rather weird waiting however much long and the same npc is still there right in front of you.
Also, the writing seems a lot better. You get really cool info in each quest log...in Skyrim you don't really get any of that like I said. And a lot of the quests are WAY more immersive (especially the guilds, but other quests have been good too) than most of the ones in Skyrim.
Also I was right some months ago. The dungeons in Oblivion (without mods) are a lot more open (even though they are copy/paste dungeons) than Skyrim's mostly linear hallway interior design of dungeons. Literally, almost every dungeon/cave in Skyrim I've been in, has a precise pathway to go and a clear entrance/exit. Not all of course, but a vast majority. Oblivion has a lot more openness to them in the dungeons I went in. Also, Skyrim even though its handmade, I noticed a TON of caves, forts and what not look like they are copy/pasted anyway. But, Blackreach is EPIC...so kudos on that.
Guess that is what has been bugging me so much about Skyrim...a lot of it seems way better than Oblivion, but a lot of it seems really nerfed.
Heck, even though I have over 800 hours of Skyrim, 400-500 (literally) of that is modding it. The rest is making my really (I'll be honest, don't look at me like that) my really hot character
that took 200 hours or so. And the rest is making new characters over and over as I remake her as I kept seeing things to change on her. Literally in Skyrim, I never even got past level 20 (legit, I did cheat my way to see later stuff...but to be honest, I don't think I've ever gotten into Skyrim that much like I did with Oblivion/Morrowind). Oblivion, I made one character (years back) and actually played it for a long time, same with Morrowind...Skyrim its mostly modding it and making new characters over and over lol.
Now to more of the story element. What REALLY has annoyed me the most about Skyrim.
You got the douchey used cars salesman, typical charismatic nazi jarl (stormcloak) and guess everyone likes charismatic leaders for some reason even though most are shitty. Guess most like being used by used cars salesman type of people. And then you got the lazy corrupt, roman emperors who have given up and just out for themselves (empire), pretty much one on one with the falling of the roman empire, even with the assassination of the king (similar to the Roman emperor that was asssassinated).
Where was the 3rd choice in all of this? Why, in all of this...could I never join the Thalmor? They were less douchey than Ulfric, at least they weren't trying to sale me a lie. Way better than the lazy ass empire and were vastly cooler. There is sort of a mod to join the Thalmor, but it causes a lot of stability issues and was never finished. WAY too script heavy and was abandoned anyway.
I'd rather take repeating the same Oblivion portals (which is now fixed with mods, so there is actually invasions in the actual world) and oblivion portals have better variety) over what Skyrim gave me...two equally lame choices, and the only "good" choice isn't available to you. Which maybe one day a mod will come out that is finished with good stability that lets you join them.
Despite my 800 hours of playing, like I said...nearly all of it, except maybe 30-40 hours of it...is modding and making new characters over and over lol.
I will say about Skyrim...I got AMAZING screenshots from it, and the best character I ever made for any game.