Being slightly offtopic, I'd remind a well-known fact. Many Xbox 360 owners who play Oblivion have troubles with overheating. A quote from Gamespot:
My 360 was crashing a lot (like once every 20 minutes). So I took the power supply off the ground and suspended it in the air with some string. I have been playing for about 3 hours straight and no crashes so far!
Well, let's admit that overheating for a console is slightly abnormal (PC might not be powerful enough, or have a bad cooling system for games, but what's wrong here?). I imagine future of humanity: living rooms with hanging PC and console power supplies, and children in colder regions playing games all night long in the winter to heat their homes.
This leads to another thought: it appears that Oblivion is a very special game! While PC gamers blame it for being too console-like (large fonts, limited hotkeys, easy quests), console gamers experience problems usual for PC users (overheating, after-patch flaws). But again, that's offtopic... let's just hope that Bethesda would fix everything they are able to.