I know this topic is old news now, but it depends on what you like most from Skyrim.
Oblivion did a few things better than Skyrim. Quests are generally handled much better (they have actual meat to them for the most part) and the faction questlines are things you pretty much can dedicate entire characters to, they have enough meat in them. Now the premise behind some of the faction quests aren't really too interesting, but they are still pretty solid to play through, while Skyrim's factions barely even exist. Dark Brotherhood was especially done very well.
It also had a better "RPG system", in the sense that there was simply more flexibility in gameplay choices. By that I mean, Skyrim has a lot more unique "cool" stuff to it, but its very restricted in the sense that you either have the cool-thing or cool power, or you don't. Things were more flexible in Oblivion with what you could do, in the sense that you can make your own spells, there are a lot more spell effects (though they aren't nearly as unique/meaty as Skyrim in how they are implemented), etc. It also has attributes - which means a potion of strength with ACTUALLY increase your strength, etc. Skyrim for some reason got rid of these and just left skills - which means character boosting potions kind of just vanished.
However, it has absolutely terrible world design, dungeon design, voice acting, characters, etc compaired to Skyrim. It's quite obvious bethesda spent the majority of their time with Skyrim vastly improving their art departments, because it just is so much more beautiful, interesting, consistant and has a higher focus on the lore. Oblivion is very "light" when it comes to all of those aspects, to the point where its almost not-fun to explore at all outside of quests. Skyrim is pretty much a complete overhaul in everything involving lore and visuals, and the feel of the gameplay is lightyears ahead.
Now you could go with morrowind of course

IMO Morrowind has the environment/art design strength of skyrim, amount of unique cool stuff as skyrim, while also having that more flexible and interesting RPG system that Oblivion has. Only issue is.. it's very slowly paced, hard to get into, and the feel of the gameplay is terrible compaired to skyrim

Not to mention no voice acting aside from NPC greetings or important characters, like in old RPG's.