"For one thing, the PS3 version has been optimized to take advantage of the Cell processor and hardware that the system offers. As a result, the game runs a lot faster than the 360 build." In the same vein, "the amount of framerate drops or hitches that cropped up in the wilderness as you accessed a new area on the 360 have been substantially reduced on the PS3 version. There is a plan to completely eradicate these issues as the game nears release." They're also getting rid of a number of bugs, including the "item duplication" glitch. Cheaters.
"The visual presentation of Oblivion has also been significantly enhanced. While it was a beautiful title on the 360, far off environmental details often displayed low resolution textures. This has been fixed with new shaders dedicated to rendering the foreground cleanly with sharper details, so rocky landscapes now have craggy appearances instead of smooth, non-distinct surfaces." This is surprising, since you often hear 360 advocates, er, advocating that the 360 has better texturing abilities (it's Greek to me).
Finally, "While there is still a fair amount of pop-in that occurs (which can't be helped due to the size of the world), the draw distance is farther than the 360 version. As a result, screens from the PS3 version should approach those from high end PCs running Oblivion, which is an impressive feat." Yes, the PS3 is capable of impressive feats. If you're a really, really hardcore Oblivion fan and own both the 360 and PS3, you may want to pick up the PS3 version for the enhancements, but keep the 360 version for the plug-ins. In all, this is awesome news for Sony.