I'm looking forward to Oblivion for a few reasons:
I like story. A lot of games either limit your story options, or don't give you one at all.
I love backstory. Yup - I'm one of those sad cases who
will read all the in-game books, stat bonus or no stat bonus. I liked them in Morrowind and Daggerfall, and I'll probably like them in Oblivion.
I like the breadth of gameplay. Few games give you such a multitude of options for achieving a goal. Games like System Shock 2, Deus Ex, and the Elder Scrolls series give you a challenge and you often have several ways of achieving it. I like sneaking, but I don't like
having to sneak. Few games allow different game styles.
And I'm going to adore the Construction Kit. I liked it in Morrowind - I made my own little island, and struggled to remember all my Higher Geography knowledge to make it as 'realistic' as I could. I populated it and wrestled badly with the conversation editor. This time, I'm going to go more into the actual scripting, for now my code is strong!
I don't expect they'll let me down - because as long as they retain the backstory, don't cut out character classes/skills, and they keep their game editor - I'll be happy.