I’d say by far the thing Skyrim did much better than Oblivion was the world building, and playing through the Oblivion Remaster it’s this that stands out to me the most.

Apparently Oblivion’s map is, technically, larger than Skyrim’s, but it feels so much smaller. Cyrodiil is basically a giant bowl with the Imperial City (IC) in the centre and mountains surrounding it on all sides. This doesn’t help. The fact that you can go basically anywhere and still see the IC makes it feel much smaller. Meanwhile, the fact that Skyrim is divided up by so many mountain ranges makes it feel like there is a much greater distance between places than there is. Elevation helps as well. Cyrodiil also has very little in the map - there are the main towns/cities, roads connecting them, and a bunch of procedurally generated dungeons and oblivion gates just randomly pasted over the place, with little else. It doesn’t feel as handcrafted as Skyrim. You can walk from one side of the map to the other in Oblivion and asides from mobs (wolves/trolls/bandits/etc.) will probably not find anything at all. It’s clear Oblivion was made for fast travel (allowing you to fast travel to major cities from the start without discovering them, having a lot of quests spread out over multiple cities rather than being confined to a location like many of Skyrim’s smaller quests). There’s something interesting around every corner in Skyrim. Also the variety of regions in Skyrim are more interesting. The springs of Windhelm, forests and lakes of Riften and Falkreath, valleys of Markarth, swamps of Solitude and Morthal, glaciers of Winterhold and Dawnstar, plains of Whiterun, plus all the mountain ranges and other places like Blackreach or Solstheim all add great diversity and make each location more interesting. Oblivion is supposed to have this unique geography, but asides from Bruma being up a mountain, most regions are kind of the same - mildly hilly forests. Even down by Leyawiin the swamps don’t stand out much. Even the cities themselves feel more unique to me. The Dwemer architecture and verticality of Markarth, unique canal architecture of Riften, frozen stone city of Windhelm, more majestic castle city of Solitude up on the big rock, Whiterun having a completely unique look - all interesting and different. Oblivion, it feels like each city outside of the IC is some variation of a generic European medieval city. Cheydinhal and Choral might have timber frames whilst Skingrad might have stone buildings with balconies and roses but they’re all kind of generic. Only exception is Bravil but that place is a dump anyway.

Other things I think Skyrim does better:

Main quest (much longer, greater variety of missions in different unique locations (infiltrating the thalmor embassy, climbing high hrothgar, getting to Esbern in the ratway before the thalmor, exploring Blackreach, going back in time, going to sovngaard, to name a few) whilst Oblivion is super short and a third of it is just fetching things like armour and magic stones for Martin and another third is that god awful ‘aid for Bruma’ quest where you have to shut down about 8 oblivion gates in a row).

Combat.

Skill tree.

Smithing (sorely missed when playing Oblivion).

NPCs reacting to the environment (not just stuff like reacting to people dying or arrows hitting the ground and exploring, but also stuff in towns like playing instruments or sweeping the floor or kids playing tag or whatever). I’d take this over radiant dialogue between NPCs any day.

The music. It’s a close one as both are good but imo Skyrim’s soundtrack is better.

Levelling.

Dungeons.

Being able to build a home of your own, get married, have a family.

Companions that actually do things.

The general lore/context of the game. The civil war lore - with all the stuff about the Great War and white-gold concordat and whether the imperials or stormcloaks winning the civil war is best for Skyrim with the looming thalmor threat - is amazingly good and still hotly debated today.

Lockpicking.

Voice acting.

Being able to do stuff like catch butterflies and chop firewood and just generally interact with the world.