Skyrim was a great game yes,but oblivion was,in my opinion,a wee bit better in immersion and in feelings.you reallly felt what you were doing was right(or wrong if you were bad).skyrim like do this do that and oblivion is the same thing...but they make it in a way that seems like your helping not being a slave.so my opinion is oblivion.whats your choice(no,morrowind or any other elder scroll game is a choice).
For me, and I'll admit this is probably really unfair, but Oblivion was just too ugly to enjoy. The only thing about that game that wasn't an aesthetic turn-off was the glass armor (which, as it happens, is how I was introduced to TES before I knew it was TES). So just thanks to that, I prefer Skyrim.
Oblivion was my entry to the series so holds a special place in my starry heart. I think the guild quests were so much better, the Thieves Guild probably being my favourite of the lot. The main quest isn't as epic as Skyrim's, but the dlcs more than made up for that in my opinion.
As for immersion, there were just so many options to keep you in game. Spell Making, potion-making, dlc houses - loved that Castle! Also the armour: chain mail, mithril, awesome!
I have been a fan of The Elder Scrolls for a long time, but I cannot shy away from the game that I loved the most.... Oblivion! I loved the story and the soundtrack. Sure there are things that could have been a little better, but that didn't matter to me. In short, Nostalgia for the win!