Now that is a hard question to answer. Both games are epic. I haven't played ME as much as Oblivion, but I can say I really enjoyed both.
They are both awesome games, and definitely worth playing if you haven't already. But out of the two I think I liked Oblivion a little better.
Oblivion CAN get a little boring if you play it as much as I did, and traveling across miles and miles of map gets old (especially if you haven't got a horse to speed things up a tad). Still, once you've visited an area you can quick travel so that's ok.