If you like the setting, I'd actually recommend you go further back and get Daggerfall; I think it's a much better game than Oblivion (I haven't played Skyrim yet), though it definitely is much worse graphically, plus it has some bugs (save often, especially before getting a quest!). The game environment is huge, the game is essentially open-ended, and the main quest line can be resolved in several different ways (definitely an advantage over Oblivion, which has only 1 successful way to resolve the main plot, and that way is unfortunately lame).
EDIT: Oh, and Daggerfall is available for free IIRC.