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Personally I'm not a fan of either (they both just feel so generic to me) but I definitely like and respect Oblivion more.  I definitely like Oblivion's setting far better, too.

Fallout seemed a bit more polished, but Oblivion was over two years earlier. To put it in perspective, I'm interested in checking out Skyrim, whereas I couldn't care less about a new Fallout game.