One of the reasons that Elder Scrolls: Oblivion is so great is that Bethesda has concentrated entirely on one niche: the solo role playing game. They haven't fallen into the MMORPG camp, and have steadfastly refused to go there. The result is a game that reigns supreme in its niche. And it isn't because they're the only one satisfying the niche... Oblivion is truly an awesome game.
Via Nelson's linkblog, I found a great story on why the solo RPG can be so great, relative to an MMORPG. It's all about concentrating on the player and their role in the unfolding story of the world. Basically, the player matters. The Elder Scrolls series has been entertaining me a dozen years. They have some really epic stories for the character to participate within.
If you don't have Oblivion yet (for the 360 or the PC), then I highly advise you check out some of the reviews. Very highly recommended.