@Satsuki:
Well, there were a lot of problems for me. One was the butt-ugly character design, which I had a hard time getting over. Another was the first-person perspective, also something I just couldn't get into. I spend all that time designing a character then all I can see are her hands? That annoyed me, and I didn't like that kind of combat either. (which I'm glad to hear that apparently in Skyrim they're making 3rd-person perspective a lot better)
And this may just be a newb problem, but knowing next to nothing about the lore of the world I had a hard time getting into the story, which just sort of throws you out there.
I admit the character design system wasn't much to brag about. But even Dragon Age has the same sort of problem when you don't use the default design.
As for the lore thing, like Hiroy said, you just get immersed as you play. Going for the main quest line right away isn't really the way to play the game. I think the best thing to do is fast travel to a town and get involved in a guild and start doing one of those quest lines and talk to random people in the process. Before you know it you're totally immersed.
@Hiroy:
I never minded the first person thing at all really. It's how the game was built to be played afterall. And the whole lore of the game sinks in once you dive deeper and deeper into it.
The best thing I like about Oblivion is all the stories, especially ones that either over arch eachother or lets you know more about a specific place or person. My main problem was just the execution. The stories make themselves look more grand than it should be. The only one that seemed to live up to its hype was a simple quest in where you buy a haunted house. I love how that one ended. The rest? Mage's guild was terribly disappointing due to all that fantastic buildup being concluded with an incredibility lame battle with the "King of Worms" in a generic cave. He was just an old man that you can drown to death. And I didn't like how Dark Brotherhood choose to end up. It was really fun at first.
I'm hoping this game makes major differences between enemies and "bosses".
I have to agree with you about some of the ending quests. Very lackluster. To do all the various sneaky assassinations for the DB (it took me so long to kill someone with a poisoned apple lol) and then end with fighting some idiot in open combat just to appease the plot of it was quite lame. The final arena fight is also really lame if you do the quest for the orc before hand. The fighter's guild one was pretty cool, though, and the thieves guild one was freaking great. The final quest for the thieves guild to steal the scroll is one of my fondest memories of that game.
But yeah, I have to agree with you now that I think about it. The so called "bosses" were very unimpressive the majority of the time. They weren't much better than normal fodder guys in most cases. I think dragons should help to fix that, at least.