The best way I found to play Oblivion on Linux, was by installing wine 1.1.35 on Gentoo, with the Gnome desktop and the stable branch. The game runs flawlessly and with great speed. It only hangs when it is going to start an battle - the game freezes for a while and then the continues normally. In some aspects of the game like on loadings, it is faster than on Windows. I think that you will also need an NVIDIA card to get something running properly, since NVIDIA is the unique vendor that really cares about their Linux costumers.
