Pfft, gosh yes. I still haven't completed the main quest yet, it took me two years just to complete Oblivion's main quest simply because I never got around to it so when my level thirty silver sword wielding bad ass charged into Kvatch it was a tough battle. I do wish there were more crazy looking enemies in Skyrim but whatevs, at least they explained that because of the destruction of the amulet of kings most realms of oblivion are closed off as well as their daedra. So yeah, I'm still playing Skyrim and it's all I'll play for a long while.
On a side note, you know how Mehrunes Dagon had to get all this power from the amulet of kings in order to get into the plane of mundus/nirn so like... Why can Sheogorath just bring himself and a crazy plus one into solitude for a little weekend vacation shouldn't that be impossible or is the point just moot because he's the deus ex machina esque character that gives no shits about the rules? Or is he super powerful, like way more than Dagon? Who knows if anyone is deep in the lore like me feel free to pm me or just talk aboot it here. Or start a thread I don't know how.