I'm the same way as Bokishi and Setzer, only it doesn't bother me in the sense that I want to do everything so go crazy deciding what to do, I just think it's a little too open-ended...which on the one hand is nice, but on the other, makes me not care one whit about the plot, since I'm free to ignore it at will. Oblivion is a great game because it doesn't lock you into some kind of linear progression, but at the same time, it makes the plot seem almost pointless. Oblivion is like a big RPG sandbox-mode environment...again, cool and fun, but if you prefer game-induced structure, it's not really there.
It's pretty much like MW to me...very pretty for the day and fun to muck around in and play with skills, but it's nothing you haven't seen or done before, and yeah, you really have to learn to focus on one quest at a time and not get sidetracked by others until you finish the first.
You won't miss anything if you don't read all the books, btw. There's probably a few book quests here and there, but most of the books are just world story/atmosphere. And a lot of them are recycled from Morrowind (maybe even further, dunno, heh).
P.S. I'd like to repeat that I don't dislike Oblivion...I just don't think it's all that special beyond the eye-candy.