I started Oblivion numerous times, but I always got bored and quit a few hours in because there was no interesting reason to actually do anything.
Exploration for the sake of exploration, looting and levelling up -- although a fun distraction -- just isn't enough to keep me interested in the long term.
What I (and I think some others) like about it is that it just gives you a world to free-play your character. You can invent your own motives, headcanon party conversations along the way, think about who your character is and what they are thinking and feeling at any given moment. Smell the roses, so to speak. Or take a dump behind a bush - lol.
I'm often astounded by the artwork, detail, environmental sounds, the sounds of my character's footsteps, everything that went into creating the experience.
Honestly, without some free-roam / free-play time, modern games tend to feel like some action-adventure flick where I'm taken from scene to scene and asked to play out the combat parts. The times when the game isn't pushing me into some pre-canned mission and cutscenes are the times when I can feel that my character is grounded in and actually exists in the world 24x7 - because not every moment of our lives are action-packed.
There are times when I need to -ahem- tweak the narrative a bit in order to get what I want out of a game. For example, in both ME1 and FO3, I 'pretended' that my character had no clues of where to go / who to talk to next to find Saren / Dad, and went exploring to look for clues. Not ideal, but a small price to pay in order to enjoy the games' content at my leisure and pace.
I need purpose.
Time for a quick-'n'-corny quote from the lovely Agent Smith, denizen of The Matrix: "Without purpose, we would not exist. It is purpose that created us. Purpose that connects us. Purpose that pulls us. That guides us. That drives us. It is purpose that defines us."
This I get.
It was my single biggest issue with DA2's Hawke - I never could figure out what she was on about. I played hour after hour, feeling very uncomfortable as if waiting for the other shoe to drop - and it never did.
In the first act, we needed to scrape up 50 gold to invest in the Deep Roads expedition. Okay, that works - I at least have a short-term goal here. Once it's completed, then what? Uh, okay - I'll set a goal of taking care of Mom, since it seems the only thing I can do... uh, oops. So much for that. I really couldn't come up with any legitimate reason to stay in Kirkwall - with the blight having been quenched, I wanted to leave that cesspool and return to help rebuild Ferelden. Add to that the goofy tone dialogue system, and - well, Hawke always felt like an NPC to me, and not a particularly compelling one at that.
But criticizing DA2 is not my point here - it is to say that, yeah, I need the protagonist to *be* a protagonist, and have an overall objective or cause of some sort.