Y'know... Oblivion isn't necessarily *horrible,* it's just a much shallower experience comparatively, which is saying a lot considering the aspects of sandbox design that Bethesda has traditionally been shown to emphasize. If you want to have fun with it, I'd say that most of the same advice applies as one would give to someone trying to milk the "best" possible experience from Fallout 3:
*Avoid the main "storyline" if you can help it. Treat the game solely as a sandbox for exploration. Make sure you've got your smiting cap on.
*All "social" aspects of the game, where not able to be downright shunned, should at the very least be downplayed. The conversation wheel can be kind of fun at first, if you take it as a minigame in it's own right and let yourself forget that it's actually supposed to be a ridiculous abstraction of social interaction. Once mastered, though, it becomes tedious. As far as writing, the dialogue trees (er, logs? Stumps?) make FO3 look like Anna Karenina. Be prepared not to care.
*Mods are your friend. I never got too into the game, so I can't recommend any good ones, but the community has a way of stepping up to the plate with Bethsoft games and delivering in all the places that the devs didn't, wouldn't, or couldn't. If you don't like something, chances are you can probably find a fix or a removal option for it in an online modhouse somewhere.
In short: ignore almost everything that one would say traditionally defines it as a video game. Think of it more as a distraction, a minor amusement. I've compared FO3 to a glossy stand-in for Minesweeper, and I think the same applies here. If you can go into Oblivion with that mindset, you might do alright for yourself until you get bored with it.
... Did I miss anything, guys?