Skyrim has much funner combat because sometimes it just ends. You're fighting, and your character just goes "FUCK YOU IN THE NECK" and kills your enemy. The worst part of oblivion combat was that it dragged so badly.
They removed ALL of the system gaming that was in Oblivion. Alchemy was broken in Oblivion - you could just basically get unlimited money with very little effort if you just made restore stamina potions. Alchemy wasn't interesting. It seems to be now. There's less completely useless clutter - I stumbled upon a pickaxe in my travels, and was like "lol, useless Pickaxe" then immediately found iron Ore. Not so much.
It's going to be very difficult to just game the system in Skyrim, and that's refreshing. I only wish the racial bonuses etc. were more clear, even if it was only in the manual, and I wish that the 360 version could use lowdefinition fonts - really, why can we not have "legible text on older tvs" be an option in video games? Why is text in video games either Oblivion or Skyrim? why can't we choose? It also seems to think my TV is a little wider then it should be, so some of the text in the top right of the screen, like "saving" etc is cut off. Why? Do I NEED to spend 300-400 dollars on a new tv just to play it properly? oh well, it's a complaint that's largely my fault, but there's nothing wrong with customization.
the magic effects seem really interesting, and it's neat to see spell effects like Clairvoyance - things that other games would just make part of the UI, Skyrim lampshades it by making it an actual spell. I like that. As I play the game I hope to see more.
I like how it's largely impossible to begin the game in a Losing state, and that you don't have to game your skills just to have a character that can stand up to the harder challenges in the game (or have that Draggy long winded combat). No major/minor skills was a very nice change. Gutting the attributes makes it seem a little less RPGish perhaps, but it's MUCH more intuitive, and I can certainly appreciate that. Stamina is actually something I care about now, which is something that even as a melee character in Oblivion just wasn't the case.
The lack of character options in terms of appearance, and the generally... dirty.. look of the games textures are a little disheartening - on the 360 at least I won't be able to make my green haired Bosmer sniper, or have my ghostly white breton shield mage. On that note, not having the ability to name your class is a little sad as well - it was part of Oblivion that I kind of liked.
I also don't really care for the tutorial dungeon in Skyrim, and the fact that you're pigeonholed from the beginning to work with the person who just moments ago was perfectly fine executing you is bothersome, and then the fact that there's no way to save after having done it giving you a chance to remake your character, which is a staple of these games that's missing - you get one point just before the encounter to do it, but that's it.
So far, I'm really enjoying it. Being able to wield a sword in one hand and a fireball in the other is very very nice, although I haven't found any particularly good use for dual wielding - you can only attack with one weapon, so having 2 seems to be superfluous. Maybe I'm missing something I'll learn later.