My only experience with TES (Oblivion) was a disappointing one. The sewers intro felt more like a chore than anything fun, and I was basically thrown into this gigantic, uninteresting (to me) world as soon as I escaped. I like a bit more structure and linearity in most of my games. Being completely open-world and free-roaming is great when you're Minecraft, but I like more of a balance from an RPG or adventure game.
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Yoblazer: http://oi52.tinypic.com/ad21i1.jpg
Watch and you'll see... someday I'll be... part of your world!