I can think of loads of very minor graphical glitches and the like, but my only really bad bug experience was with Mass Effect, although I don't think I've heard many people complain about it.
The installation continually corrupted itself, requiring a complete system restore and reinstall. It would play fine for a while, then the same thing would happen again.
Also, for some reason, every time it's been installed, the autosave function has been utterly unreliable- it only autosaves maybe once out of every five times it says it does.
I never had much trouble with Oblivion being glitchy on the PS3, so much as with some of the strange choices- particularly the fact that some characters could be killed even when you still needed them for a quest (Alessia Caro, I'm looking at you). It wasn't a bug, just a really bizarre decision!