Though I'll say that Skyrim>Oblivion now, I can't deny that I had so much fun when I played Oblivion for the first time because it was my first Elder Scrolls game. That moment coming out of the sewers into a massive open world was such a refreshing feeling compared to the other boring, generic game titles that were out at the time.
I'm certain I've heard this same reason over a hundred times. "Leaving the sewers...Massive world.." --- "A puppet that can no longer be used is mere garbage. This puppet's role has just ended..." Majoras Mask, Majoras Mask