I would say definitely go with Oblivion, especially if you are more into RPGs, as your post states. Sure, Borderlands allows for some character progression and possesses a fairly deep loot system, but, while it is a shooter first and foremost, Oblivion is unadulterated RPG.
Regardless of genre, I would argue that Oblivion is simply the better game, even though I enjoyed Borderlands. Oblivion aims to create a believable world where the player can lose himself for days, and, although modern technology hampered it, it mostly succeeds. Borderlands, on the other hand, is much less ambitious, striving more to create an experience than a world. If you have a friend to play it with, though, it sure is one hell of an experience.
My advice would be to rent Borderland and purchase Oblivion (preferably on PC).