I don't know about how it compares in actual square miles and I've heard it's not as big as Morrowind but it sure doesn't seem as big because of the quick travel.
I'm currently playing it but not very deeply. It depends on what you like whether you will like it or not. It's very open ended and making it interesting is entirely up to you. You have to go along with the story for it to happen unlike many RPGs that put you on a rail and make you fight canned battles to get to the next cutscene.
Morrowind is about 9 square miles of landspace, Oblivion is about 16 square miles.
Oblivion is really great, the fast travel sort of ruins the hugeness in a way, but you can easily just use a horse to get around.
Plus, it's one of the most beautiful games I've ever seen.
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