It's pretty hard to compare these two games, as one is a puzzle-solving horror/suspense game that takes under 8 hours to play, and one is an rpg that can easily take over 80.
I voted for penumbra shearly on an immersiveness level, because it has much more of a real-life feeling: getting trapped in a mine in greenland and having to find your way out again while being haunted by weird people and creepy animals is much more likely than saving a doomed fantasy realm by using magic spells and enchanted weapons to quell dragons and faeries.
(hehe - longest sentence ever)
That being said, oblivion is a huge game with an obviously enormous budget, and it's loads of fun to play. And since you'll have 80+ hours to get the hang of it, it's a pretty safe bet that you'll be feeling pretty immersed by the time you're done!