Ah! I've just solved this problem, for me at least.
Try installing the game in C:\Bethesda Softworks\Oblivion, instead of Program Files. Then make sure you remove your old configuration files from My Documents. These files are NOT removed when the game is uninstalled, which may explain why it wasn't working. I loaded the game with my old configuration files in My Documents, and it crashed. When I removed them, it went straight to the in-game movie, which I skipped, and went straight to the main menu without a problem. When I loaded the game from C: with the configuration files still there, it crashed. Try combining these two, and see if they work.