Oblivion is awesome, but the leveling system sucks. If you're playing on PC, I highly recommend you pick up a leveling mod. :) A quick google search will turn up several, just pick the one that you think sounds the best. (For the record, this is the one I used: http://www.nexusmods.com/oblivion/mods/13879/).

Fallout 3 is also awesome! And the change of setting might be nice since you just played one medieval fantasy game. Either way you go I think you'll have fun. :)

Go for it! That's exactly what I did recently. After having played Skyrim and Oblivion on the PS3 and getting a new PC, I decided to play both games again (but on the PC instead). They're great! I pretty much agree with what everyone else has said thus far. I don't recall much of anything that I disliked about Oblivion, except for having to use Repair Hammers, which worked out well anyway. I don't fully agree with WBS about the leveling. I agree and disagree with him. On my first play through, the game seemed difficult as I often died. The second time around was much easier, probably because I was more cautious and knew what was going on. I agree with Travis that Oblivion is "magical." That probably better explains my feelings about the game as I fell in love with it. Fallout 3 is great, but is pretty buggy even on the PC (mine crashed often).