I liked Oblivion, but damn it was rough around the edges. It was pretty much broken out of the box, and is only playable now with lots of mods. The leveling system was the biggest problem in my opinion, combined with the fact that all NPC's were boring and lifeless.
Fallout 3 is, simply put, the next evolutionary step. The leveling system is much more refined and less stupid. The world and NPC's genuinely feel compelling, and there have been numerous improvements to dialogue, the interface and the whole way the game works. It's much more accessible to me as a gamer, so I'd pick Fallout 3.
What I'm most excited about now is the prospect of Bethesda working a number of these well conceived changes into the next Elder Scrolls, it would be nice to see a somewhat intuitive levelling system and world that is much more alive in the next Elder Scrolls. Here's to hoping.