There's deffinitely bugs in Oblivion. All of my saved games right now are corrupt in some manner. Unfortunately, I deleted a bunch of saved games thinking I had too many, so all I have is ones after the corruption and my level 1 guy. If I reload my level 1 guy and save him inside a dungeon, I can reload just fine. But if I load my latest save and then enter a dungeon and save again, I can't load that new save. I load, but my character can't move and if I hit tab the game crashes. I've sent my saved game to other people and same thing occurs. What this means? I can't save in dungeons at all, only in the outside map / cities. It added to the difficulty but I'm enjoying the challenge.
Oblivion is bigger than Morrowind but you'd never realize it with fast travel. If you don't think it is, start in the upper right and run all the way to the south part and then back to the upper left. You'll be running for a loooooooong time. You'll also find a ton of dungeons. Whoever said morrowind doesn't have many dungeons hasn't done any exploring at all, you can't go 5 feet without a new marker showing up.
The biggest difference is that I actually enjoy Oblivions difficulty in comparison to Morrowind. In Morrowind, I found this robe of health regeneration in like the 3rd dungeon I entered. Completely ruined every encounter afterwards. I ended up starting a new char but got bored of the game because it always came down to single swing kills. I've had some very interesting fights in Oblivion.