My intelligent side says that Fallout SHOULD be the better game in my opinion, but the simple fact is that it isn't. Oblivion was my very first proper PC game, and my first 360 game as well because of it (I baught it twice), and I must have racked up at least...helll...250 hours playing it and loving EVERY second. In fact, since the day I got my 360 until now, Oblivion is still my most often and most enjoyed game to play out of everything else.
Don't get me wrong, I adored Fallout 3 as well, but not quite as much, for a couple of simple reasons;
1: Grey. It's been said before, but seriously, that game was blaaaaaannnd. I know it was post apocalyptia, but surely SOME paint must have not been burnt off?
2: Not as much choice. Despite the many skill options and exellent perk system, you still got shoehorned into some essential skills like small arms, science and lockpick. As well as this, there really wasn't very much gameplay syle choice either. It was either guns blazing or one of the two silenced weapons in the whole game for sneaking, which still didn't feel nearly as fluid as Oblivions' stealth play anyway.
3: Atmosphere. Fallout's world, while detailed and intreguing, didn't have me feeling absorbed like Oblivion's did. In oblivion, no matter where I was I always felt this sense of awe and...I dunno, what you'd call it...intregue, I guess, about everything around me. I felt compelled to look through every book case, in every chest, explore every town, ruin and dungeon. With fallout 3 everything just seemed so samey, that it didn't have this same feeling, so after a few hours I ended up just fast travelling from quest point A to point B over and over. In Oblivion, I never fast travel, ever. The world is just too amazing to waste on a loading screen.
4: I prefer fantasy better. Simple personal choice. (Although VATS is particularly awesome)
5: Customisation. In Oblivion if you wanted to you could literally create yourself to be whatever you wanted to be, whoever yo wanted to be, and wear whatever you found or even created from scratch. From spells to armour, everything could be customised and renamed to give you a deeper sense of attachment to your character, which Fallout 3 pivotally lacked. Appart from a couple of crafted, pre-set weapons, personal clothing choice essentially boiled down to stat stacking and power armour, which really leaves no room for any sort of attachment to your character itself.
THAT, is why I prefer Oblivion. If my reasons seem invalid, I will endevor to elaborate where needed.