Basically, Skyrim's game world feels like it's 50% mountains and 50% roads. Whereas in Oblivion you could cut through the landscape in any direction you wanted, in Skyrim you have to take the same roads all the time and the result is the world feels tiny and like it's funneling you from place to place.
In addition, the game is constantly funneling you towards quests and storylines. You can't walk into Whiterun without engaging in main-quest related dialogue. You can't walk into Riften without being offered Thieve's Guild membership. Solitude and Windhelm both have scripted civil-war related scenes that play when you walk into the cities. Markarth has two scripted scenes that play when you walk in.
Oblivion never had scripted scenes and really never prompted you towards any questlines. In Skyrim the process of joining the Dark Brotherhood is linear and pointed out to you endlessly until you do it. In Oblivion it was literally just kill an innocent person, there was no quest for it.
The irony of this too is that Skyrim's questlines are undeniably far shorter than Oblivion's. The guild's pacing is awful. 2 quests into the Companions and you're part of the Inner Circle. 3 quests into the Dark Brotherhood and there's already a conspiracy. Same goes for the Thieve's Guild.
This sums up the broad reason why Skyrim is a step backwards to be honest. Feel free to disagree and discuss. Please don't lock the thread though because these are valid points and I'm just looking for a legit conversation, no blind hate.