If Oblivion didnt scale you would feel godlike (probably at level 4 like in Morrowind).
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Well, that's on the developers end. It's a lot easier to balance things out by scaling everything, rather then setting monster levels, skills, equipment, etc.
... and, if you are high enough level... You should feel godlike.
Also, being level 4 in a D&D game wouldn't make you godlike either... So the two games levels aren't very similar afterall like you originaly iinferred.