I haven't played Fallout NV and only a bit of Oblivion, but there is at least one good reason to get Oblivion:
Nehrim It's a free total conversion mod for Oblivion, meaning a whole new game running on the same engine. It features enhanced graphics, a new story and setting, a whole new world to explore, many quests and secrets to uncover, a new soundtrack, voiceovers*, a different skill system etc. So you get two fantasy RPGs for the price of one, and in the best case you'll love both, or you find that one is not to your liking, but the other one might be.
The major differences between the two are that Nehrim has a more traditional skill system with XP for completing quests and killing monsters, and skills you need to learn from trainers, just like in the Gothic series, while in Oblivion you improve your skills by using them and don't get any XP from monsters. Oblivion has level scaling, adjusting the monsters you meet to your level, while in Nehrim a weak monster will always be weak and a strong monster always be strong but your character can get even stronger, so you might encounter monsters that at first may seem impossible to defeat, but when you come back at higher levels you will find it much easier to fight it. Last but not least, at lot of care has gone into crafting the world of Nehrim bit by bit, while in Oblivion, some parts can be rather generic, from what I hear.
* EDIT: Actually, it's possible that voiceovers are only available in German though. I was under the impression that it's been fully translated into English, but maybe that doesn't include the voiceovers, so you might have to play with German voiceovers and English subtitles. The text should be translated, in any case.