I remember enjoying the ending to Oblivion, going to Gaia Alata and finding the tormented souls of Mankar Cameron's followers, I liked that it was all a con, the ****ty part for me was the final battle with Dagon basically being a cut scene.
The Shivering Isles was brilliant for me, probably my favourite Elder Scrolls location alongside Vvardenfell, better writing, deeper quest design and the dungeons were fun.
Thinking about it, I really wonder how they're going to handle Alduin, he makes Mehrunes Dagon look like an insect, in fact if you dig around the lore forums you find that he actually made Dagon into what he is, so if Dagon's defeat was a cut scene how are they going to handle a dragon god who literally eats the whole of reality?