Fallout 3 is waaaaay better than Oblivion. I won't go childish on this just by saying that Fallout 3 has guns, so I will say what makes Fallout 3 a better game than Oblivion.
-Fallout 3's world is smaller and so it's easier to navigate and move around. While it can be a problem when you reach the city areas I never had any issue with going into a subway tunnel and emerging from the other side. Except that ghouls scared my ass out of it.
-The story is more involving and it developes faster, with a very thing veiled linearity that you barely noticed, due to all the freedom you have.
-Better voice acting. Okay, we have Patrick Stewart in Oblivion, but Liam Neeson was more time in Fallout 3, and I think he is a better actor.
-Better level up system. Stream-lined XP level up system. Gather "this much" to reach level 14. Understandable.
-The environment is familiar, being this Washington DC, and so it's actually kind of cool moving around places you have visited (or like me, seen in postcards).
-It is really immersive. Mostly because I am a pussy, but I scream like a 10 year old girl everytime a Mirelurk appears behind me. That's how much this game draws me in.
-And finally, guns. Yes, it is so much fun to blow up people and super mutants with the VATS system, or load a massive Mini-Nuke on some scared fire antes just because you are bored. It makes great fun to vent up steam.
So yeah, Fallout 3 has a lot of reasons to be better than Oblivion, at least in my opinion. I am not saying that Oblivion is worse, hell no. Oblivion is as good as a fantasy RPG goes, it's big, fun, filled with stuff to do and has a good storyline. But Fallout 3 hits closer to home with me, with the guns, the nuclear devastation, the mutants and the whole post-apocaliptic setting.