I picked up Oblivion for the 360 a couple of weeks ago and haven't been able to put it down. The only problem I have with it (aside from the 'loading' glitches) is that there really is no incentive to turn up the difficulty. It seems I get the same stuff no matter how high the setting is.
Still...pretty damn good game. Highly recommended.
I've also been playing Condemned, which is pretty good as well. It's dark and gritty, you collect clues, beat people with fire axes and crowbars....it's got a little bit of everything. The presentation is spectacular. My only gripe are the controls. There's limited customization and that's just a crying shame.