you need a real nice system to take advantage of oblivion on a pc... i have it for the pc, it looks nice but the limited amount of memory on my system is causing me problems. in order to play it at a consistent frame rate i have to go into the console and disable the high detail grass.
if you dont have a decent computer or dont want to spend money on an upgrade then i would consider getting it for the xbox. but bear in mind ive only been playing the game for a few days and i have already found a bug in the main campaign; i dont know how they would go about sorting that out on the xbox