I've yet to play New Vegas, or even finish Fallout 3 (haven't even spoken to the doctor in Rivet City), but the character development in the scenes at the very start involving Liam Neeson is above and beyond nearly instance of writing in Skyrim (with the High Hrothgar scenes and Alduin's final scene being two standouts). That's not to say I didn't enjoy Skyrim, but Fallout 3 definitely knew how to put its best foot forward.
I'd basically look at it like this.
Oblivion's writing is adequate. Good enough, very good at some points, bland at others. Overall, it's par for the course.
Fallout 3 has writing 3x better, specifically with the character depth. Don't get me wrong, FO3 can blunder hard (Broken Steel), but overall, the increased dialog options, character depth and detail and the still-par writing make FO3 3x better overall.
New Vegas has writing 10x better than FO3 and 30x that of Oblivion. It's simply exceptional, with philosophical questions and ideals that can sometimes keep you occupied even after you've shut the game off. Admittedly the writing isn't for everyone, as many gamers don't play games to have their morals questioned or to get involved with difficult, depressing questions or philosophical debates. Nevertheless, the writing deserves utmost respect for thoroughly pleasing those that do enjoy that kind of thing.
Skyrim? Skyrim has writing only a quarter as good as Oblivion's. Hence I complain constantly.

Oblivion is a 5 or 6, FO3 is an 8, New Vegas is a 10, Skyrim is a 2.
Nevertheless, people keep saying that the next game should have the writing like New Vegas, even though Bethesda did not do the writing for that game, Obsidian did.
But it's what people want. Just because Bethesda's never pulled off a game of such quality (story-wise) doesn't mean we shouldn't encourage them to try. Should we
expect their releases to be that good and get our expectations high? No. But should we encourage them to improve and use New Vegas as an example of the quality they should be aiming for? Absolutely.