So far, I've been very impressed. It looks great (apart from the occasional distant thing looking rubbish when the level-of-detail mapping goes a bit wrong). So far, I've been impressed by the gameplay; I spent most of yesterday playing it. Morrowind (the previous game in the series) had an amazing world and plot, but a truely broken game system. Oblivion seems to be just as expansive, but seems to be slightly less broken.
A couple of warnings to those considering getting it: firstly, the combat system is real-time, and has some arcade style elements. For instance, you have to aim ranged weapons, and if you miss, you miss. It also has separate block and attack buttons, and the timing is important. I'm enjoying it, but this may put off some people.
Secondly, though I'd prefer to ply the PC version (for more flexible controls and more customisability), it looks like it will require a monster PC to run well. It does run OK on the 360, but that's the base-line it's been designed for. I wouldn't want to run it on a PC that has significantly less power than a 360, which does mean it probably needs a fairly high-end version of the current generation of video cards.
At least the 360 controls seem to work ok, so it's not too painful playing on a console, and it's nice to play on a big screen with surround sound. I suspect that this may be a game I return to on the PC in a couple of years, once I have a PC that can handle it.
I'll give some further impressions once I've got a bit further, as I've only just scratched the surface of the game. This is despite having over 10 hours of game time so far (which would be enough to complete some recent console game).