Fallout 3, because it has guns. As much as i love swordfights, RPG's, dark ages, fantasy and great writing of Oblivion (i think), you just can't top shooting people in their face and ripping them apart with your grenades.
Mostly it's because I'm always going as a tank (or something that stands in corner and shot's he's most powerful stuff at enemies), Oblivion seem to think that I'm going with magic (that i hate) and bow's (that i don't like to use).