In my opinion, it's WAY better than Oblivion. It's not even comparable. In fact, it has recaptured that sense of wonder and overwhelming feeling of "where do I want to go and what will I do when I get there?" that I have only ever felt in one other open-world action RPG. That, of course, being Morrowind.
The combat is a little slower, but it's a much better pace. Your weapons somehow feel heavier, and when you swing them, they feel more powerful. In Skyrim, your weapons feel like the connect with the enemy and actually do damage - as opposed to Oblivion, where it felt like you were waving a piece of cardboard, painted to look like a sword, in front of enemies
The engine is actually really good. I'm pleasantly surprised - I have encountered very few glitches and bugs so far (Xbox 360 version), and absolutely nothing gamebreaking. The few glitches I have found have been small things like taking an item off of a table, and everything else on the table goes invisible.
The landscape graphics look pretty similar to Oblivion's, although crisper and cleaner. I don't mind, though, because it's clear that when they worked on the graphics, they were more concerned about making the characters and weapons textures look fantastic - the humans' features are more subtle, the Argonians and the Khajiits look incredible, the Nords actually look different from the humans... and the Orcs actually look quite formidable. Even the enemies look much better - trolls, for example, don't look like globs of green fat; now they're actually scary looking.
The dragons are fairly generic fantasy dragons but... goddamn. Fighting one is just an absolutely amazing experience.
The story itself, from what I've played so far, is much better, far less generic, and much more entertaining than Oblivion's - although I must admit, I still kind of find myself habitually trying to find Oblivion gates :P
That's all I can think of right now. But damn, I was REALLY hyped for Skyrim. And I had really high expectations. And Skyrim has not only met those expectations, but it exceeds them.