Oblivion is without a doubt nice to look it but there really isn't a decent way to capture good screenshots. Looking for a mod like they have in the flight sims were the action is paused and your able to move the camera anywhere in the scene and take the shot from any angle. Would like to catch that arrow in flight or a sword's killing blow.

download fraps and use it in conjunction with the ` key

where does one find fraps? google

the new patch contains a hot key for screenshots.