You can't really compare low res Xbox 360 development screenshots to 1080p PC screenshots.
This.
I wouldn't really call it marginally better.
Oblivion:
http://plume.dk/pictures/oblivion/oblivion47.jpg
http://media.giantbomb.com/uploads/0/5687/462620-tes4_horsearmor01_full_super.jpg
http://www.hardgamers.com/images/oblivion_interview/obx27B.jpg
Skyrim:
http://cloud.steampowered.com/ugc/649876122752221732/00C6BB39D592939EFC3A7988FED16A6A61D72FA1/
http://cloud.steampowered.com/ugc/649876122752219427/42E47C4EB9812B3CCD49049DC5869F32739BC9F1/
http://cloud.steampowered.com/ugc/648749446906248406/AFB5709F1778E23E30D528D1A69D89FA0FF78DFA/
http://cloud.steampowered.com/ugc/649876122752271856/75E2BBE7EB9449F6A35369E30CE0FDE0579D8891/
http://cloud.steampowered.com/ugc/649876122813402875/994E07EB42E3DB475416B495084B6CE46A13A983/
The problem is that when I say "marginally better," I'm referring to how it looks slightly better as a whole. But when I'm comparing two separate aspects, Skyrim almost always loses.
The shadows in Skyrim are garbage. Even maxed out, they are pixelated and jittery. The only way to make them look better is to tweak the .INI, but even then you're trading quality for distance. In Oblivion, you could max the shadows out vanilla and they looked great. Sure, not quite as good as some of the best these days, but far better than Skyrim (ignoring self-shadows, with both games svcked at).
The world and object textures in Skyrim (at least the PC version) are garbage, and that's honestly what pisses me off the most. The 360 had issues with textures not improving in Skyrim after installing it to the HDD, but they got a patch to fix it. PC games are stuck here two months later without so much as a word from Bethesda regarding whether or not these crap textures are fixable. Almost everything in Skyrim looks flat at close inspection, and even sometimes far away.
The flora and fauna in Skyrim look like garbage up close. If you go right up to a tree or shrub, you can see that the foliage is rendered in 2D sheets. It's honestly embarrassing.
The only things that Skyrim has a clear advantage in are in character textures and animations and water textures. However, the latter is easily fixable in Oblivion with a small patch.
In the end, it's really disappointing how many steps they took backwards.