The problem with Oblivion as an RPG is that it gave me absolutely no connection to my character at all. My character is always the same ugly, generic guy/gal with a randomly generated face whom I don't see anyway. There's no personality which leaves it very open to your own imagination, however since every interaction and action feels so static not even my imagination can make up for it and I never feel involved in any part of the game.
RPG's (mostly the western ones) have become far too based around leveling up and kicking some boss' ass with only a superficial layer of character story to back it up. For many people the open world and side-quests are plenty to make the game great - but I really want to get to know/be the character that I'm representing, and so if something happens in the storyline I want to be directly affected by it, and not through some generic face on my screen. Final Fantasy is a great example of an RPG that makes you feel this: every FF game I have finished left me with an incredibly strong feeling of sadness after beating the game (even after taking 50-100 hours to do so) because there is nothing more to learn about the world and the characters, and there is no more story left.
In Oblivion I'm just quick-travelling to quest after quest and going through the motions to finish the game, which will never happen because I am too apathetic about the world and its inhabitants to care enough to do so.
I need to be emotionally attached to my character as soon as I 'meet' him/her, whether it's an annoying character or not, and if that's not possible because the character is 'mute' like in a lot of RPG's, then things need to happen that make me want to take up his role. I have no interest in the world, however big and beautiful and feature-packed it might be, if I can't connect to my character emotionally.
That said, I guess everyone looks for different things in RPG's and I can certainly understand that. I tend to see them more as interactive stories/experiences, and not as 'games'.