When playing Oblivion, I also had trouble getting excited about moving the story forward. At first, the battles were thrilling, but that adrenaline wore out rather quickly. The only real excitement for me came in the arena, and even that wasn't super challenging. There was just a sort of dullness about doing stuff.
I enjoyed the game for about 25 hours, but I just didn't feel any urge to complete it or continue on.