Oblivion still has great sidequests. Some of the best and most memorable ones in the series. Who could forget Whodunnit, or Shadow over Hackdirt, or the entire Shivering Isles, or Nothing you can possess. So many great quests.
The fact that I can remember the details of every single one of the quests you mentioned really says something. Fingers of the Mountain had a pretty good reward at the end of it, if you did it right, and Sheogorath's shrine quest was fucking great. The part where you could go and grab the quest AFTER completing shivering isles and it's Haskill that talks to you was unexpected. Where did that attention to detail go? How about "The Ghost Ship of Anvil?" or "The Sirens Deception?" How about my favorite "An Unexpected Voyage?" Oblivion has it's pretty places too, without modding the textures I mean. The people all have potato faces, but the rest of the game looks fairly decent all things considered.
You know I still really want to know if Sheogorath in Skyrim is actually the PC from Oblivion.
I always assumed he was just the real sheogorath on vacation, and then forgot his champion was left in charge... or something. You know how Bethesda likes to retcon it's lore, who knows.
You know what game has water quality that really holds up? Half-Life 2.