I know it sounds odd, but I sometimes enjoy going into the caves where they have coffins placed in the sides of the rock walls. I like the ominous music that goes along with the somewhat dingy setting. It's not really that I like it, but something about it makes me think of it as an interesting environment. I also like traveling around
Sancre Tor and viewing the scenery around there. There are some caves and Ayleid ruins that I enjoy visiting because of their interesting ominous settings. One of my favorite areas of Cyrodiil is the swampy environment somewhat south of
Veyond. It is always misty, dark, and foggy, but the whole setting is somewhat peaceful and beautiful to me.
I'm sure that there are many more places and areas in Oblivion that I enjoy to visit, but these are the ones that I can remember off the top of my head.