I'd disagree that it's better in every single way. With that said, I think Skyrim will prove to be overall the superior game.
The combat in Skyrim is far, far better than Oblivion's. The melee, the stealth, the magic---all are a lot more satisfying and involved now.
The leveling system is also definitely improved. You just get better at whatever you're doing, so there's no need to plot out a character before you start. (This does have the downside that you can reach a high level without ever raising any combat skills, though---but this is balanced out a little by the fact that not everything's scaled to your level. You can always go beat up weaker enemies.)
The overworld is VASTLY superior. In Oblivion there's really not much to do if you just wander around the landscape. Skyrim is actually a lot more fun to aimlessly explore, much to its credit, because that's something you look for in a game of this type. This is probably Skyrim's strongest point over Oblivion.
The menus are also far better now---assuming you're playing on console. Skyrim's interface was very much designed with consoles in mind, and nowhere is that more evident than the inventory screens. They're really awkward on PC.
The one thing that Oblivion was better at is quests. Don't get me wrong--Skyrim's quest JOURNAL is better, with the ability to set multiple or no quests as active. But Oblivion's were more fun, more complex, more involved. There's nothing I've found yet as strong as Oblivion's Dark Brotherhood questline, and most of the quests themselves are either "go get this item" or "go kill this guy". It doesn't help that they're heavily weighted towards the former.
The writing hasn't really improved either, with one character from an early Brotherhood quest in particular standing out as a preposterous cruel stepmother archetype, even more overblown than in most fairy tales. Not a lot of likable folks, either, for that matter. There were a lot more characters I liked in Oblivion.
Bear in mind that this is all my opinion, but I think it's all fair to say. The quests here aren't as good---but that doesn't matter as much as it might, because everything else is so, so much better.