My main issues with Oblivion are

• Leveled opponents - if you just play and don't focus on your skill ups, it's possible to slip into a state where you just can't beat your opponents except by adjusting the difficulty bar or carefully counting and managing your skillups for several levels, both of which feel unnatural and cheat-ish. As nice as not having to grind levels to complete the main quest might seem at first the reality is that you don't have the option of just grinding levels to overcome the opposition, which sucks.
• The mage's guild - this isn't an issue if you bought the wizard's tower download or the Nights of the Nine pack, but if you're playing vanilla Oblivion, the only way to make your own spells is to join the Mage's guild, which involves a long string of quests. Then, if you decide to join another guild and the quest line involves killing or stealing from the guild, you get kicked out and have to gather vampire dust to get back in; that means you get to find you some vampires and defeat them -- it would seem that most vampires are +3 or +4 levels, so have fun with that...
• "Broken" enchantments removed - for some reason, you can't make a constant effect enchanted item that restores your health or mana, or a number of other powerful effects. I wouldn't mind so much if it just cost a whole lot and/or only allowed very small magnitudes, but they just completely locked it out...