PRO-TIP: For both games, the DLC ramps up the gameplay exponentially. EXPONENTIALLY, my friend:
Oblivion:
Wizard's Tower - A home base in the mountains, with portals to all the mages guilds (which makes becoming a full mage easier than ever), a garden full of alchemy ingredients, an item enchanting er, thing. It's the perfect place to crash. (Each "class" has their own - Smuggler's Cove, a ship in a cave for Roguish Pirates, The Fighter's Stronghold, a huge fortress with servants and a hidden Dragon Sword, and Deepscorn Hollow, for vampires who love to kill and languish in a coffin afterward.)
The Shivering Isles - Wonderlandian fantasy land, with enormous mushroom saplings, insane residents, presided over by Sheogorath, a daedra who's every line is pure gold. Totally engaging story in that place, just plain awesome. And if you get the CD with Knights of the Nine, there's a whole thing about collecting the Armor of the Nine Divines that A.) Culminates in kicking a lot of ass and B.) Gives you armor you can place on a display that repairs AND upgrades it. Epic? Epic.
Borderlands:
The Zombie Island of Dr. Ned - Absolutely hilarious, and the best showcase of the game's offbeat humor that makes it less of a generic RPG-Shooter. Available at level 10, so the fun starts early.
Mad Moxxi's Underdome Riot - Addictive music, a melting pot of crazy fights in the Starter, Gun, Badass, Horde, and Boss waves. After you beat each of those waves once, it goes into further insanity as stuff is randomly changed - speeds, ammo, etc. Completely frenetic and fantastic.
I haven't played much of either Claptrap's Robot Revolution (but what I have is funny) or General Knoxx's Hidden Armory (but I use it to grab a few $1,000 for my brand new characters) but if you get GOTY you can find out.