Elite Bastards take a look at Elder Scrolls IV: Oblivion

With your character choices made and tutorial finished, you step out of the sewers and emerge into the world of Oblivion, at which point the vastness of the game strikes you. For someone so used to highly linear FPS games, pulling up the map may well be enough to induce a panic attack, with nothing but fields and ruins between you and the next sign of civilisation. Of course, you can jump quickly between locations courtesy of the map, but that's hardly fun or in the spirit of the game, and in all honesty you'd be missing out on one Hell of a lot if you did so. So, once you've steeled yourself, it's time to set off in a direction of your choice, and the game begins in earnest.

Elder Scrolls IV: Oblivion Review