Fallout 3's got triumphs over Oblivion in some ways- better combat, and *some* of the characters are better thought out, and the locations and ruins actually have some sense to them, but in general terms i preferred Oblivion.
Namely, i preferred the Oblivion environment. The environment for Fallout 3 comes in three colours- brown, grey and a tiny bit of green (and seriously, how many other games have that colour scheme?) The Oblivion environment is lush and full of interesting fauna and flora, making it a pleasure to go out on a bout of wanderlust around the Cyrodiil countryside. It's a feast for the eyes, and chances are you'll come back with a bag full of loot which will fetch a good price at the nearest shop. If i went out wandering in the Capital Wasteland, i'll have been glad to have made it back to civilisation alive and in one piece. I would have wasted a lot of precious ammunition on rad-scorpions and super-mutants, and found scarce little loot for it, and lost a lot of health which can't be regenerated by use of a simple healing spell.
Fallout 3 in my view was harder than Oblivion for the above mentioned reasons, it's still a damn good game though. On balance though i prefer Oblivion, Oblivion was simply more fun and enjoyable for me than Fallout 3.