Lol, your talking to the right guy. I just did a whole bunch of research on that to play oblivion on my PC too.
I was under a price limit of around $600, so keep in mind there ARE better parts but this stuff will do the trick. Also, keep in mind I did not buy a hard drive, power supply, computer case, CD/Floppy Drives or a soundcard/speakers because I already have them. You'll have to do research for yourself on those. But here's what I came up with.
By the way. Order from Newegg.com or watch your back from my killer ninjas!
GFX Card - Sapphire Radeon X1800XT [Affordable yet powerful. Any lower it's not good and any higher you talking about dishing out a lot more mullah] Link:
http://www.newegg.com/Product/Product.asp?Item=N82E16814102698
CPU - AMD Athlon 3800+ 2000MHz [With this CPU your in the AM2 Socket bracket, which is good. It supports hyperthreading and 64bit computing. Cheap, realiable and can still pack a bunch. But not nearly as much as the more expensive ones. Just like the graphics cards though. Any higher your paying a lot of money.]
http://www.newegg.com/Product/Product.asp?Item=N82E16819103631
RAM - OCZ Gold Series DDR2 800 1GB [Sorry, no link for this one. OCZ is good. You'll want DDR2 with 800 on it. Trust me. Also keep Cas Latency ratings low too.]
MOBO - You'll want one that supports PCI-Express, Socket AM2, DDR2 800 RAM, that fits your case and has plently of expansion room. I chose the ASUS M2V because it was what I needed. There are better boards than that but I decided to cut the cost there a bit.
http://www.newegg.com/Product/Product.asp?item=N82E16813131024
Make sure to read the reviews people post on newegg and also to make sure that your product you want is from a trusted company with good warrenties. Good Luck!