Thanks for the help, but I did some research and tweaking and found the problem. Not good news, really.
My card is an Nvidia Geforce FX 5500. While Oblivion does claim to support the FX series of cards, they handle they do an extremely bad job of handling Shader Model 2.0, at a guess they're probably doing it off software rather than hardware or something like that. So the game will run, but it will lag out severely.
I actually edited the .ini into forcing the game to use an older version of the shading thing, but it was causing game crashes, and the game didn't look all that much better than Morrowind.
I'll just have to wait until I can get a new video card to play.