I have both, and I have to say Oblivion is a much more satisfying game. I feel like there's a lot more to do, and I rarely get bored playing it as there's always a new location to explore or quest to do. Fallout 3 was excellent, but just didn't have as much entertainment value. I was disappointed at the lack of options besides completing the main quest...No guilds, not nearly as many locations to explore, and not as many character options either. And what the crap @ leveling capping out at 20? =/
So yeah, Oblivion wins for me.