I think Skyrim did quite a few things better than Oblivion, which was vast but lacking a lot of depth. The fact that Skyrim could focus on mainly one ecosystem I think helped with the level of detail.
Imperial City in particular was vast but with very little to do aside from talking to people about quests. The size of the cities in Skyrim fit the engine a lot better.
But Oblivion was the first one I played and I really enjoyed the various quest lines and the Oblivion plane visits (which were far spookier than anything in Skyrim).
I agree that the main story/Mage Guild storyline was better than Skyrim, but the DB and Thief's Guild quests in Skyrim were pretty amazing. Dawnguard and the Dragonborn DLC were solid as well.
The aesthetics were better in Skyrim, but Oblivion still had a cool world. While I agree that Skyrim made better use of their cities, I don't necessarily think there was more to do in them. Skyrim had six major cities, while Oblivion had eight, with a ninth that gets destroyed during the game (I believe it was supposed to be rebuilt but that was cut). It really bugged me that Winterhold wasn't a city, but a very small town with a Jarl's longhouse and a (relatively) small Mages guild. Winterhold is supposed to be a major city in TES lore, but it was cut very early and they made some BS excuse that it was destroyed.
That's mostly my problem with Skyrim. For being in development for so long, so many things were cut. Numerous quest lines were made much shorter, areas were cut, the Civil War wasn't finished so they cut almost everything at the last minute, etc. The Fighters Guild/Mages Guild felt very shallow (you only have to play for a couple hours to beat the Fighters Guild story), Daedric quests weren't nearly as good as on Oblivion. I do agree that the Brotherhood and Thieves Guild questlines were very good, but I'd say they were on par to Oblivion more than being better.