Oblivion is fun for the first few hours you play it. However, it only gets worse as you go on.
See, like every other Bethesda game (except New Vegas, thank you New Vegas!) it has that thing where the enemies scale with you, so while it might be fun to stealth kill people now it won't be so fun when they simply turn around with an arrow in the back of the head and completely mash your skull in.
Of course, eventually you'll learn the one or two strategies required to break the game. I'll give you one now, enchant your bow to give a maximum strength drain health enchantment for one second. It's an extremely cheap enchantment which will kill low level enemies and mages (normally very annoying to fight because they self heal constantly) with one hit. Actually, don't even bother with the bow.. just learn a one second drain health spell and combine it with the strongest weakness to magicka spell you can find, then you don't need to bother carrying that bow around.
Balance? Balance is for wimps and people who like well structured games.
The real issue though, the big giant turd in the toilet bowl, is the Oblivion level up system (the fact that Skyrim elegantly fixes it is, I suspect, one of the reasons for all the love its getting from people who aren't Elder Scrolls fanboys, like myself).
See, since Morrowind the Elder Scrolls series has aspired to a level up system which rewards you for successfully performing actions, unfortunately in Oblivion and Morrowind this resulted in a level up system which rewards you for deliberately spamming the same action 2/3rds of the time, preferably an action which has nothing to do with your class. If you don't do this, your character is going to end up severely gimped by the time you reach what can only tenuously be called the 'endgame'.
In Morrowind it wasn't so bad because skill progression took a backseat to just buying training, but still.. the very thing that made the game's level up system unique shouldn't be an inconvenience.
The one good thing about Oblivion is that it had a good modding community. Then again, so did Morrowind (which has the same problems but is also a fairly interesting old school sandbox game - in the sense that the sandbox elements are more than paper thin). There are mods which fix these problems and can make Oblivion quite fun, but if you want a game which works out of the box wait for Skyrim to go down in price.
