I was very disappointed in the art style and architecture in Oblivion. Books in Morrowind reference Cyrodiil as being a jungley tropical region, and it was kind of cool and unusual (in a good way) to have the dominant race be white Romanesque humans that live in a jungle, it was cool. Oblivion changed all that by making it be boring, overdone, standard medieval Europe, with nothing exciting like in Morrowind's alien landscape and flora.
Add to that the fact that there're annoying restrictions like "Can't kill and loot the Emperor/any main NPC", and the abominably implemented power attacks, horses, and factions, and I have to say that I really didn't like Oblivion.