I've now had a chance to spend some time with both the 360 and PC versions and thought I'd share my experience with both incase anyone is still undecided about which platform to go for.
360 Setup - Xbox 360 (premium one with the HD), Samsung LE32R41BD 32" HD telly.
PC setup - AMD X2 4400, 2gb corsair, Geforce 7800 GTX Extreme Edition, 2 x 74gb WD Raptors in RAID 0 (system + games), 2 x 160gb WD SATA in RAID 0 (pagefile + datastore), Audigy 2ZS + 7.1 inspire speakers.
I received my 360 version of Oblivion first and initial reactions were a little dissapointing at the performance. I knew Oblivion was likely to be a monster and push the performance of the 360, but I found the loading system when outside a little bit to much, it loads on a regular basis. Whilst doing this it doesn't pause the game but it causes a little bit of stutter. Other than that I cannot fault the game, the graphics are superb, the combat feels great, the controls work fine with the pad.
I got my PC version the day after the 360 one and I must admit my thoughts as it was installing were that I was expecting the PC version to be much better performance wise. I was wrong. My system isn't the fastest in the world but it's not a bad system. I basically set the game to 1280x1024, ultra high detail, 4 x aa, 8 x af, Bloom on. It looks nice enough, but outside I'm getting FPS anywhere from 15 - 35. In dungeons the range is anywhere from about 25 - 80 FPS. I also noticed that the graphics in the distance when 'outside' just didn't look right on the PC. They look too clean and clinical. Basically the point where the vegetation stops is more apparant on the PC version. I also found that the PC version loads and stutters just as much as the 360 version. The fact I had 2gb RAM and dual raided SATA drives seemed to make no difference. Finally I must admit to having a slight preference for using the old keyboard and mouse.
So, my conclussion is that the 360 version has a slight edge between the two of them. It just looks that little bit better graphically on the 360 running on a HiDef telly. They are both excellent and well worth the purchase on either system. Both versions had technical issues with loading/stutter, but to be honest I've found that once your a few hours into the game you don't really notice these things on either version.