This game is great, but, expect some issues with either version (xbox or PC).
PC users, your best bet is to wait until Bethesda releases it's first patch, this game is ultra harsh on systems, and full of bugs, if you've already gotten it, and have issues with performace, AND, you are sure your system meets the requirments for Oblivion, don't run out and buy anything (hardware-wise) until a patch is out, even users of highest end cards have reported getting 1-5FPS in intense areas of the game (even with tweaks) (it's not a rendering problem in this case, it is just buggy).
XBox users, if you get it, it also has many issues, there is at least one addon download for XBox called Horse Armor, most people after paying and installing this mod have had problems even starting the game.
And those are just the tip of the iceberg.
There was little to no beta testing done, it has, (by virtue of his high sys requirements) exposed weak things in systems, I have read about vid cards frying, harddrives crashing, it also has LOTS of issues (on PC) with sound cards that are intergrated. If you have any issues with this game, there are some fixes for XBox and PC versions over here:
http://www.elderscrolls.com/forums/index.php?showforum=23
The forum moves VERY fast though, indicative of the amount of issues.
If you post a question here in this thread wrt Oblivion, I am thoroughly familiar with the issues and associated fixes, and would be happy to help anyone here.
This post is not meant to bash Beth, as this game is VERY complex, this game is worth the issues.
BTW, the only issue I had was my sound card, disabling Sound Accel solved my issues.
Whatever you do though, don't let it stop you from getting this game!
There is also a Oblivion tweak guide found here:
http://www.tweakguides.com/Oblivion_1.html
And tweak guides for nVidia:
http://www.tweakguides.com/NVFORCE_1.html
and ATI:
http://www.tweakguides.com/ATICAT_1.html
All of which help immensly with performance in Oblivion.