Oblivion. Its much more fun to actually have a lot of people to fight rather than wander around in a wasteland with few people in concentrated areas. I also like the level up system in Oblivion much better than Fallout 3 because you actually level up skills by practicing them, not just randomly choosing skills you want to be higher just by killing people. Also the spell making in Oblivion is the best.
Fallout 3 is better, in my opinion, but only by a little. Its just more challenging, and there are many more things to do. Plus as far as physics and CG go Fallout is superior, considering Oblivion used the same voices and movement for just about every person, and didn't change it until Shivering Isles. I'm also very excited to see Fallout: New Vegas. Just about the only game I am excited for, that and the new Bioshock.
As far as them being made by the same company, the games are a complete 180 degrees from each other, you can't group them together. Unfortunately, Bethesda isn't making Fallout anymore...
Well you really have to compare the styles of the games, Fallout 3 is a very fun post-apocalyptic world game, while oblivion is a very fun Medieval fantasy game. Both have ups and downs, but really the point i think i should make is that Bethesda Games puts out great games left and right. i look forward to playing the new fallout aswell. I keep hearing rumors about a New Elder Scrolls games, i wonder if they are true. i would be excited to play that aswell