Oblivion was great and some parts were better then Skyrim. The cities were better fleshed out and felt more unique. Dark brotherhood and thieves guild quest line were far superior and some of the side quests were better too. For example the one where you go inside the painting was excellent.
I'm not sure I entirely agree with the cities comment. I felt the cities in Oblivion were all fairly unique but in Skyrim I really felt that they tried to make them all different in architecture and in economic success. Not all cities were easily defendable and Solitude and Markarth for were just stunning to behold.
Completely agree with the Thieves guild and Dark Brotherhood quests being some of the best. And the painting one was a classic; very unique and highly entertaining. I didn't mind the main quest too much but the Oblivion gates did become a bit of a chore. Glad they have dragons in Skyrim instead!