This post is a follow-up to my thought that Oblivion as not being a true RPG from the Xbox 360 league thread:
It has RPG elements like Deus Ex. Like Deus Ex, the game relies more on you than your character's skill (which in a genuine RPG is what matters more than all else). The world is also always at your level (or thereabouts), similiar to a normal game where you have slightly weaker or slightly stronger enemies. RPGs you'll have areas where you'll get mullered, and areas where you'll obliterate the enemy. The loot you get in Oblivion is very, very rarely exceptional regardless of how difficult it was to get it. Whereas in a real RPG there will be dangerous dungeons filled with strong characters guarding a single chest (or boss) with a super powerful sword.
In Oblivion you can wear any armour at any time, in a real RPG you can't wear armour unless you have sufficient skill. Of course Oblivion has a tendency to not even give u access to higher level stuff until you too are high level (which could be considered the same thing).
In short Oblivion imho is an Adventure game, not an RPG. You explore places, you are a hero, but the world never *really* changes and neither do you. You level up, you take on stuff with the same difficulty (more or less). Of course you can also nerf your character - but lets not go there.