Yeah, the leveling system in Oblivion sucked, but the one in Skyrim is really good, suits every players need in my opinion. Also, there are no classes, and weapons and armor dont break or repair. Your character can do everything, unlike Oblivion where you character is restricted to classes and skill you create them with. You can use all magics and powers, equip all weapons and armor. You can even buy a house(DLC allows you to build one), get married, adopt kids(DLC).
Trust me, Oblivion was a great game, but Skyrim is as mind blowing as Grand Theft Auto, and it takes role playing to a whole new level.