I've been wanting to post some of the issues I have with Oblivion now that I have played it enough (57+ hours and counting) to feel I have a good understanding of the game thus far. Some of this stuff might be "bugs" and could be addressed in an upcoming patch though, shrugs.
1) There is no directional attack indicator
Someties you are getting shot at or something swings down and hits you and you dont realize the best direction to move to as cant be sure which direction it came from. A simiple red line on the side of your crosshair to show left or right would have been super nice.
2) Your wandering horse
Sometimes when fast traveling to a town your horse wont be outside the gate or at the town's stables like it tells you it is. You go back out to get him and he's not there. You have to fast travel to another spot for him to show back up sometimes. Also if you leave your horse sit in the wild and wonder way off, something may attack it and he will go crazy to beat the things ass - sometimes he comes back, sometimes not. It's hard to keep track of him, but it's nice when he helps you in combat by kicking guys in the head.
3) The swimming "breath" bar doesnt ever increase and is way too short
4) You get stuck in "something's chasing you mode" even though that thing is miles and miles away.
Yes Oblivion's landmass is 16 square miles to scale.
5) No keychains
I have like 80 keys and it takes FOREVER to scroll past all of them. In fact the whole interface needs a much better stacking or grouping system.
6) No armageddon
Main quest NPC's will never die. They simply get knocked out (not sure for how long). Morrowind would just warn you that if you killed guy XYZ that the main quest would be dead - I liked that better. It ruins the idea that I like to entertain about making a super spell to nuke the planet, but some people will just survive no matter what. Hell you could even kill Lord British if you found the glass sword.
7) No seasons
This game as the best outdoor elements of any game ever. If you say there's a game out that does "outside" better than Oblivion you are high on crack. But this beauty could have been better if it morphed thru a seasonal cycle at least thru the middle temperate section of Cyrodil.