Part 2, demonstrating procedurally generated foliage, which covers approximately half the game world with fully animated trees, shrubs, and grass, as well as the "magic compass" and overhauled combat. And over 200 dungeons, all hand-crafted (hmm, where have I heard that before?

Part 3, where we behold the power of Todd Mode, see how arrows react with the game's physics (including using one to push a log which I know you can't do in the final game), as well as using an apple to trigger a trip wire (which I think that is possible).
Part 4, The now infamous demo of Radiant AI. To put it simply, almost everything from 2:30 onwards ended up cut. Also demoed is the new fast-travel system.
Part 5, mostly devoted to introducing the main threat of the game.
All in all, a very interesting set of vids, and it's nice to look back and see what Bethesda actually wanted to do with Oblivion. Wanted to, but couldn't, as they were designing for the 360 first and over-estimated its capabilities. Since then, they have learned their lesson about trying too hard to impress their audience. That and they are not designing for next-gen hardware this time, too, so they are more aware of what is and isn't possible. Compared to the Skyrim demo, Oblivion's actually feels decidedly Peter Molyneux-esque.