First of all, if your question is "Should I buy this game, period?", my answer is simply: Yes.
If your question is "Should I buy this game, or skyrim?" the answer's a bit more complex. I would not say either one is better, but they're two different tastes, like vanilla and chocolate.
In this case, I would say Oblivion is the vanilla. If you're looking for a straight-up, classic medieval fantasy, Oblivion might be more your thing than Skyrim, which is "themed" around the viking-style Nords. Likewise, Oblivion has the default fantasy setting of castles and forests and rolling green plains, where Skyrim is, again, Nordic themed, and focused mostly on mountains and snow.
Because of that, and some differences in art styles, Skyrim and Oblivion look very different, to the point where I would almost say that might be the deciding factor in which game is right for you. Skyrim is very much a modern game, with fairly realistic art, and that includes the recent trend of realistic games to be primarily brown and gray. Oblivion, on the other hand, is vibrant and colorful, and perhaps a bit stylized. If you are longing for a colorful first person fantasy game, Oblivion is for you (if you're looking for a sidescroller, I'd recommend Trine). If you've been wading through the Real-Is-Brown trend, the sheer vibrance of Oblivion can be a real breath of fresh air.
As for gameplay, the two games are relatively similar. I personally prefer the spellcasting setup in Oblivion over that in Skyrim - in Oblivion, you equip spells in their own slot, rather than in a hand (which could instead be holding a weapon), whereas Skyrim just treats spells like a sword that has to be put in one of your hands. Speaking of which, you cannot dual wield in this game. If you want to play a classic sword-and-shield knight, this particular difference in mechanics is more or less irrelevant, except that it's easier in Oblivion to cast the occasional healing spell.
Furthermore, Oblivion offers a much greater degree of freedom in spellcasting than Skyrim. You can create your own spells by adding effects and designating whether the spell is a projectile, area of effect, etc. Enchanting and Alchemy are slightly more complex than in Skyrim, as well. If you like playing spellcasters, I'd say Oblivion is probably a better choice than Skyrim, which has you simply pick from pre-determined spells, and has a far more limited alchemy and enchanting system.
The biggest mechanical difference is the level up system. Without a doubt, Skyrim's level up system is more user friendly and intuitive. It might be a little more friendly to those who want to play these games casually, where Oblivion requires a little more care, planning, and effort. In Skyrim, you level up your skills as you use them, and after you've increased any combination of skills by a certain amount, you can go up a character level (on the spot, even). When you do, you increase one of your three stats (yes, only three: health, mana, stamina), and pick a talent tree to put a talent point in, which gives you bonuses - with different talent slots unlocking as you raise the respective skill. In Oblivion it is completely different. For one thing, you have several stats, each tied to three skills. The number of times you level any combination of skills attached to a given stat affects how much you could POTENTIALLY increase that stat by when you level up (and if you dont' get those +5s, you will find that the game swiftly outlevels you). By the way, you only level up when you raise ten points in any combination of your class's seven major skills, and only when you sleep. Skyrim has no classes, and therefore no major skills. This makes Skyrim's character-building system a little bit more freeform, as you can, if you want, change directions as you go, if you decide you don't like a particular aspect. Oblivion allows you to create a custom class, but you're basically stuck with that choice after you finish the tutorial.
In short, Skyrim has a simpler, more intuitive, more fluid leveling dynamic, good for building your character as you go according to what feels natural, while Oblivion might be better for those who like to plan or min-max, and requires a bit more thinking ahead.
I should also mention that on certain computer systems, the music in this game may not work. It certainly doesn't work on my system, but otherwise the game runs just fine. From what I understand this is an issue with the CODECs and may be related to Windows 7.
One other thing I think is important to mention is that this game, despite being a fantasy, is surprisingly arachniphobe friendly. As someone with arachniphobia, I find it hard to deal with how ubiquitous giant spiders are in fantasy games. Skyrim's spiders are particularly horrifying. But Oblivion has no (true) spiders at all. It does have the Spider Daedra, which are essentially spider-centaurs, but I didn't find them particularly phobia-triggering. They're also very rare outside of the oblivion gates, so you won't often find yourself being jumped by one unexpectedly. If you are an arachniphobe looking for a fantasy game, I HIGHLY recommend Oblivion, especially if you're comparing it to Skyrim.
Also, this game has Martin Septim.
That's reason enough to buy it.