Oblivion (and a few other 3-D games) can crash randomely for almost everyone. It's a buggy game, in that respect. With that being the case, it can sometimes be difficult to determine whether it's crashing on its own, or because of a specific problem with your computer setup (such as the fact that Oblivion hates overclocked machines, for example).
One thing that will cause the game to crash much more frequently is when it begins to strain your system resources (memory, swap file space, video RAM, temp files, global system cache, etc).
Try going into the Windows Control Panel and then into the System applet. Look for the "Advanced" tab and then click on it. Look for another "Advanced" tab in the menu that pops up and then, look at where it says "Memory Usage."
There's two choices there, under where it says "Adjust for best performance of:"
If you have more than 1 gigabyte of RAM in your computer, then change that setting from "Programs" to "System Cache" and then click on "OK" at the bottom. Now, reboot your computer and try Oblivion again.
What we've done is to assign more memory usage to texture caching and data swapping, instead of wasting a lot of it as "standby" memory for multi-tasking. Since you probably won't do any multi-tasking when you play Oblivion (you can't, really), then this is a much more efficient way of allocating memory usage in an Oblivion rig. My own machine is set up this way and the game hums along beautifully for me.
This tip will also improve the functioning of similar games, such as Half-Life 2, F.E.A.R., Doom 3 and many others.
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