Both are very similar in their feel (ie the way they present the characters, interact with the environment and the way you communicate with characters). I like both games, Fallout is dark but funny in places whereas Oblivion environment is much more appealing. I also like the way you can join different factions in Oblivion like being magical or a thief. In fallout you seem to be good or evil. In that respect Oblivion seems to have more replay value.
Just my 2 cents and I'm sure others would disagree.