I've got to admit, as a jRPG fan used to Tales of skits and constant, constant character interaction, Oblivion left me feeling, kind of, lonely. The reason Tales of is my most favourite RPG franchise instead of the most prestigious and important and original jRPG franchise, Dragon Quest, is that even Dragon Quest leaves me a little on the lonely side a lot of times.
Oblivion didn't just feel like a culture shock, it felt like an endless dungeon crawl with just a few ugly NPCs in between. Probably the most interesting character interaction I had was with Sheogorath. Made me feel bad because he wanted me to do cruel things to adventurers, but nonetheless he was a sure laugh.
As I played, I kept thinking, "where's my party", "where's my backstory?", "where's my comradery". You know I really eat up that "power of friendship" cliche so common in shounen comics and shoujo comics and of course even jRPGs, heck, you see it in My Little Pony: Friendship is Magic. And I'm used to the Asian culture in jRPGs about how there's always this close group of people and different degrees of closeness and how people will talk to each other differently based upon how close they are. In Oblivion, everyone feels like a stranger. I kind of miss that close experience with fictional characters when playing a sandbox like Oblivion. Having a tightly knit party that sticks together through thick and thin is a nice bonding experience. Sure, they're not real, but hey, that's the fun of fiction, and I get kinda lonely without it. I feel more entrenched in a fictional world if I feel like I miss somebody when I walk away from it. Oblivion just doesn't give me that feeling.