I had this same issue. I figured since it was the same game engine and same studio that it would probably feel more like an Oblivion total conversion than a new game. That's why I said I wouldn't buy it until the price dropped. Well, the price was $25 on Steam this past weekend and I bought it without a second thought.
It seems Bethesda have realized what they did wrong with Oblivion and corrected most of it in Fallout 3. The landscape isn't covered in random encounters that level with you. There are some, but it's not like in Oblivion where you could walk down a road at level 2 and fight a few flying imps, then walk it again at level 15 and see minotaurs everywhere. The skill system is changed to where you choose what increases instead of it being automatic depending upon what you use. The NPCs don't seem don't seem like they came off an assembly line anymore. Also, the main quest doesn't make exploration a nuisance from the start. I started a new character and TCL'd my way through the starting dungeon in Oblivion so that I could avoid the possibility of there being Oblivion gates everywhere.
Basically, my point is that Fallout 3 makes more sense and feels more natural, and therefore, is more immersive. The first night I went out in the wasteland and looked up to see the Moon really helped draw me in. It's almost like they took two of my favorite games, Deus Ex and Morrowind, and mixed some of the best elements together into one game.
On am amusing side note: the first time I ran into a Mirelurk, I ran away frightened, yet laughing at the mutated Mud Crabs that could now kill me. Bethesda has quite the sense of humor.
